How do I access alternative close prices via python API

joe.wright

Help!

Is it possible to access alternative close prices from the python API? For example BRTDTDMc1 has 2 close prices. ASIA_CLOSE, EU_CLOSE, US_CLOSE, I want to access the ASIA close price as I am trying to find a common timestamp for the below list of prices.

Reuters Code' : ['DUBSGSWMc2', 'MRBN1MMASc1', 'OQc1', 'LCO1MMASc1', 'BRTDTDMc2'

The other alternative close I want to acces is the ALT_SETTLE on the OQc1 curve.

My code is here: I took snip and pasted raw code for any testing.

#Import Curve data

import pandas as pd

import numpy as np

import datetime as dt

import eikon as ek

from pandas.tseries.offsets import BDay

today = dt.date.today()

reportDate = (today - BDay(1)).strftime('%Y-%m-%d')

print(reportDate)

curves = pd.DataFrame({'Simplified Underlyer' : ['Dubai', 'Murban', 'Oman', 'Ice_Brent' , 'Dated_Brent'],

'Reuters Code' : ['DUBSGSWMc2', 'MRBN1MMASc1', 'OQc1', 'LCO1MMASc1', 'BRTDTDMc2']})

curves.set_index('Simplified Underlyer')

curveList = curves['Reuters Code'].tolist()

curveData = ek.get_timeseries(curveList, ['CLOSE'],start_date="2021-01-01",end_date= reportDate)

curveData1 = ek.get_timeseries(curveList, ['ASIA_CLOSE'],start_date="2021-01-01",end_date= reportDate)

curveData2 = ek.get_timeseries(curveList, ['ALT_SETTLE'],start_date="2021-01-01",end_date= reportDate)

prices = curveData.dropna()

returns = curveData.pct_change()

returns = returns.dropna()

returnsCov = returns.cov()

volatility = returns.std()

latestPrices = prices.loc[reportDate]

latestPrices

print(curveData1)

print(curveData2)

1630596574871.png

pf

Hi @joe.wright ,

ek.get_timeseries provides only a limited list of fields (TIMESTAMP, VALUE, VOLUME, HIGH, LOW, OPEN, CLOSE & COUNT).

In your case, following ek.get_data() calls could return expected values:

curveData, err = ek.get_data(
    curveList,
    ['TR.CLOSEPRICE.date', 'TR.CLOSEPRICE'],
    parameters={'SDate': "2021-01-01", "EDate": reportDate})

curveData1, err = ek.get_data(
    curveList,
    ['TR.ASIACLOSINGTRADEPRICE.date', 'TR.ASIACLOSINGTRADEPRICE'],
    parameters={'SDate': "2021-01-01", 'EDate': reportDate})

curveData2, err = ek.get_data(
    curveList,
    ['TR.SETTLEMENTPRICE.date', 'TR.SETTLEMENTPRICE'],
    parameters={'SDate': "2021-01-01", 'EDate': reportDate

Fang

https://community.developers.refinitiv.com/discussion/comment/84100#Comment_84100

The CLOSEPRICE/SETTLEMENTPRICE is not working as its excel equivalent EU_CLOSE / US_CLOSE (any more?)

do you happen to know the latest parameters - thanks in advance.

Jirapongse

@Fang

You can use the get_history method in the LSEG Data Library for Python instead.

df = ld.get_history(
    universe = ['DUBSGSWMc2', 'MRBN1MMASc1', 'OQc1', 'LCO1MMASc1', 'BRTDTDMc2'],    
    interval = 'daily',)
df

This method also supports the fields parameter.

The example code is available on GitHub.