Generate historical adjusted closing prices in R

Hi,

I am using the R package to pull data and would like to pull historical data fields for specified dates like adjusted closing prices and volumes. I have tried:

get_timeseries(list("MSFT.O","VOD.L","IBM.N"),list("*"),"2016-01-01T15:04:05","2016-01-10T15:04:05","daily")

and included the TR.PriceClose field but it fails.

Thanks.

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Accepted answers

Jirapongse

@Charlotte.vanTiddens

Typically, the get_timeseries method supports HIGH, CLOSE, LOW, OPEN, COUNT, and VOLUME fields.

It doesn't support TR.xxx fields. To retrieve TR.xxx fields, you need to use the get_data method.

get_data(list("MSFT.O","VOD.L","IBM.N"), 
         fields=list('TR.ClosePrice.Date','TR.ClosePrice'),
         parameters=list('SDate'='2016-01-01','EDate'='2016-01-10'))

All comments

jonathan.legrand

Hi @Charlotte.vanTiddens ,

May I ask:

(i) what package are you using? The ahmedmohamedali one, or the GreenGrassBlueOcean one? Please use the latter, because it is the only one being kept up to date.

(ii) what error message are you getting?

(iii) is your instance of Eikon or Workspace running? Because it needs to be in order for this Eikon Data API to work.

(iv) are you able to collect this data in CodeBook? This last question is not necessary for us to investigate your issue, but it would be preferable to know in aiding said investigation.

Jirapongse

@Charlotte.vanTiddens

Typically, the get_timeseries method supports HIGH, CLOSE, LOW, OPEN, COUNT, and VOLUME fields.

It doesn't support TR.xxx fields. To retrieve TR.xxx fields, you need to use the get_data method.

get_data(list("MSFT.O","VOD.L","IBM.N"), 
         fields=list('TR.ClosePrice.Date','TR.ClosePrice'),
         parameters=list('SDate'='2016-01-01','EDate'='2016-01-10'))

Charlotte.vanTiddens

Thank you for your feedback. I have one last question - how would I pull ESG scores with the date the score was updated and for which financial period?

Jirapongse

@Charlotte.vanTiddens

You can use the get_data method to pull ESG scores.

For example:

get_data(list("MSFT.O","VOD.L","IBM.N"), 
         fields=list('TR.TRESGCScoreGrade.Date','TR.TRESGCScoreGrade'),
         parameters=list('SDate'='0','EDate'='-4'))

The output is:

You can use the Data Item Browser tool to view all available fields in the ESG category.

Charlotte.vanTiddens

Thank you. I have switched over to the Refinitv package - would I use the EikonGetData function to pull the same as above? Could you please repeat the example with the Refinitiv package?

Jirapongse

@Charlotte.vanTiddens

Please let me know which Refintiiv package you are using.

Jirapongse

@Charlotte.vanTiddens

I think it is https://github.com/GreenGrassBlueOcean/RefinitivR.

The code looks like this:

library(Refinitiv)
Eikon <- EikonConnect(Eikonapplication_id = "<app key>", Eikonapplication_port = 9060L)

data <- EikonGetData( EikonObject = Eikon, rics = c("MSFT.O","VOD.L","IBM.N")
          , Eikonformulas = c('TR.TRESGCScoreGrade.Date','TR.TRESGCScoreGrade')
          , Parameters = list('SDate'='0','EDate'='-4')
                    )

data$PostProcessedEikonGetData

The output is:

Charlotte.vanTiddens

Great - thank you. That is very helpful. Just to clarify - is that date the end of the financial period or when the score was updated/released? It would be ideal to have an extra column with the date which corresponds with the financial period in which the score was assigned as well as a date that represents when the score was released. My last question is how to ensure that all score data is pulled? Thank you, Charlotte

Jirapongse

@Charlotte.vanTiddens

I checked in Eikon and found that it is Period End Date. However, you need to contact the content support team via MyRefinitiv to confirm it.

There are other fields available in the TR.TRESGCScoreGrade field. You can use the Data Item Browser tool to view all available fields in the ESG category.

You can compare the data with Eikon to ensure that all score data is pulled or contact the content support team to verify it.

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