ek.get_timeseries with multiple RICS omits timestamps

Hi,

I obeserved the following problem when querying multiple RICS:

1. Using...

# Load Data
hist_start = datetime(2022,5,3)
hist_end = datetime(2022,5,5)
rics = ['CFI2Z2']
ts = ek.get_timeseries(
    rics, 
    start_date=hist_start,
    end_date=hist_end,
    interval='tick',
    normalize=False,
    raw_output=True
)

ts['timeseriesData'][0]['dataPoints']

Yields...

[['2022-05-03T06:00:12.394Z', 83.3, 1],  ['2022-05-03T06:00:12.46Z', 83.3, 1],  ['2022-05-03T06:00:35.079Z', 83.23, 1],  ['2022-05-03T06:00:35.187Z', 83.23, 1],

But when calling multiple RICS ...

# Load Data
hist_start = datetime(2022,5,3)
hist_end = datetime(2022,5,5)
rics = ['CFI2Z2','CFI2Z3','CFI2Z4', 'USDEUR=R','PTTFYc1','TRAPI2Yc1','DEBYc1','CFI2Z1','SRMCAPI2Mc1']
ts = ek.get_timeseries(
    rics, 
    start_date=hist_start,
    end_date=hist_end,
    interval='tick',
    normalize=False,
    raw_output=True
)

ts['timeseriesData'][0]['dataPoints']

Yields:

[['2022-05-04T10:38:00.522Z', 87.85, 1],  ['2022-05-04T10:38:15.687Z', 87.8, 1],  ['2022-05-04T10:38:57.498Z', 87.85, 1],

Find more posts tagged with

time-series

refinitiv-dataplatform-eikon

Accepted answers

umer.nalla

Hi @bjoern.laemmerzahl01

The Eikon DATA API team have investigated this issue and advised that it is related to the 100,000 data points limit.

e.g.

Set start/end date to (2022, 5, 10) / (2022, 5, 12) to get 'tick' values

'CFI2Z2' => 22.084 lines x 2 (nb of fields [VALUE, VOLUME]) = 44.168 (limit not reached)

['CFI2Z2','CFI2Z3','CFI2Z4', 'USDEUR=R','PTTFYc1','DEBYc1', 'SRMCAPI2Mc1']
=> 7142 lines x 7 (nb of RICs) x 2 (nb of fields [VALUE, VOLUME]) = 99.988
The limit was reached because the first datapoint's date is '2022-05-11T09:36:39.862Z' (the result was cut to approx 100.000 data points)

Change start/end dates to (2022, 10, 0, 0, 0) / (2022, 10, 9, 0, 0):

'CFI2Z2' => 2.944 lines x 2 (nb of fields [VALUE, VOLUME]) = 5,888 (limit not reached)

['CFI2Z2','CFI2Z3','CFI2Z4', 'USDEUR=R','PTTFYc1','DEBYc1', 'SRMCAPI2Mc1']
=> always 2.944 lines x 7 (nb of RICs) x 2 (nb of fields [VALUE, VOLUME]) = 41,216 (the limit is not reached)

So you can either reduce the data range and make multiple requests to fulfil your data range requirement OR request each RIC one by one.

All comments

Gurpreet

Hi @bjoern.laemmerzahl01,

Can you confirm that you are not exceeding the data item limits on your requests. To see the limits, please refer to this document - https://developers.refinitiv.com/en/api-catalog/eikon/eikon-data-api/documentation

umer.nalla

Hi @bjoern.laemmerzahl01

I was also able to recreate this inside my Codebook running in Workspace.

For some of the RICs, in the multi-RIC request it is missing data for the 05-03 - but for others it is present.
I will report to the Eikon API team for investigation and get back to you once I hear back.

umer.nalla

Hi @bjoern.laemmerzahl01

The Eikon DATA API team have investigated this issue and advised that it is related to the 100,000 data points limit.

e.g.

Set start/end date to (2022, 5, 10) / (2022, 5, 12) to get 'tick' values

'CFI2Z2' => 22.084 lines x 2 (nb of fields [VALUE, VOLUME]) = 44.168 (limit not reached)

Change start/end dates to (2022, 10, 0, 0, 0) / (2022, 10, 9, 0, 0):

'CFI2Z2' => 2.944 lines x 2 (nb of fields [VALUE, VOLUME]) = 5,888 (limit not reached)

['CFI2Z2','CFI2Z3','CFI2Z4', 'USDEUR=R','PTTFYc1','DEBYc1', 'SRMCAPI2Mc1']
=> always 2.944 lines x 7 (nb of RICs) x 2 (nb of fields [VALUE, VOLUME]) = 41,216 (the limit is not reached)

So you can either reduce the data range and make multiple requests to fulfil your data range requirement OR request each RIC one by one.

bjoern.laemmerzahl01

Hi umer.nalla,

Thank you for the excellent feedback. I will try to work around the issue by sending multiple requests, although, given that I do not know how many data points will be returned for a given period, this will be tricky.

However, Thanks to you feedback I know what the issue is.

EXPLORE OUR SITES