How can I get historical FX forward values in Python (Eikon data API, Codebook)?

Good afternoon!

I need to download historical daily FX 1-month forward values (open, high, low, close) for some liquid currencies (Canadian dollar against USD etc). I am also interested in downloading daily historical data for FX spot rates (open, high, low, close). I am currently working with Python Eikon data API in Codebook in Eikon web version.

How can I do that (wia ek.get_timeseries, ek.get_data or some other way)? I would be grateful for any help or suggestions.

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Accepted answers

zoya faberov

Hello @lozovoy.hse ,

With get_timeseries call, available fields are the ones that you see in the example above, as without specifying the fields a parameter to get_timeseries, we get all the fields that are available.

With get_data, we can research the fields that are available for the instrument using Data Item Browser tool within Eikon desktop or Refinitiv Workspace desktop, for example:

Next, to see what is available via time series, we only leave time series checked, unchecking realtime and static fields:

Therefore, this field is not available as timeseries/history via get_data, only as realtime.

For more insight on content availability, the best approach is to refer the content questions directly to Refinitiv content experts, via Refinitiv Helpdesk Online -> Content -> Eikon, this forum will be more helpful to you with API usage questions.

As additional information that may be of interest, Refinitiv Tick History product includes this content, and offers the best coverage of tick history requirements. If you may need this, I would suggest to discuss your requirements in detail with your Refinitiv account team.

All comments

zoya faberov

Hello @lozovoy.hse ,

I would try ek.get_timeseries, first.

Having examined the results, you can decide, if this is sufficient for your requirement, and if not, try get_data and parametrization per Eikon Data APIs for Python - Reference Guide.

For example:

import eikon as ek
ek.set_app_key('YOURVALIDKEYHERE')
ek.get_timeseries(['CAD1M=','CAD='],start_date='2020-05-04',end_date='2021-10-04')

Results in:

Hope this information helps

lozovoy.hse

@zoya faberov Thank you for quick response! Your answer is helpful. I have an additional question: is it possible to get data for daily bid and ask for the same tickers? For instance, close bid for 'CAD1M=' and close ask for 'CAD1M= '.

zoya faberov

Hello @lozovoy.hse ,

With get_timeseries call, available fields are the ones that you see in the example above, as without specifying the fields a parameter to get_timeseries, we get all the fields that are available.

With get_data, we can research the fields that are available for the instrument using Data Item Browser tool within Eikon desktop or Refinitiv Workspace desktop, for example:

Next, to see what is available via time series, we only leave time series checked, unchecking realtime and static fields:

Therefore, this field is not available as timeseries/history via get_data, only as realtime.

lozovoy.hse

Good evening!

@zoya faberov Thank you so much for your detailed answer! Now I got all the information I needed, so I am closing the question.

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