30 Day API

Spencer.Dixon
Spencer.Dixon LSEG
in Elektron

I'm pulling 30 days of price using historical tick data. 30 Days prior to my issue request was Juneteenth (6.20), a holiday, so the price came out to 0, for example with GOOGL, it was off when we tried to calculate.

I know I can likely change our process to look back on the previous active business day and that solution will solve that, but I also noticed on my eikon desktop that there was period data in eikon.

Is this available via API pull today?

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Best Answer

  • zoya faberov
    zoya faberov ✭✭✭✭✭
    Answer ✓

    Hello @Spencer.Dixon,

    I think this is in reference to something like:

    dfResult = ek.get_timeseries(['GOOG.O'], 
    start_date = '2022-06-15',
    interval = 'daily')
    dfResult

    Resulting in:

    resgoog.gif

    I believe what is happening is API is pulling content as is, unadjusted, and for interday time series requests, weekends and holidays are omitted, whereas in Eikon it is being presented differently, the missing data points are extrapolated and filled in.

    See this previous discussion thread with insightful answer from Alex about the same. The adjustment that is done depends on the type of instrument and the market and so it is best to check with Refinitiv content if you would like to know what is done for a specific instrument.

    Next, pandas can be used to implement backfilling, similar to what is described in Handling Missing Data in Pandas.

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