Pull futures chain (expired and current) & get all historical prices

Hi,

I would like to pull a futures chain, including expired contracts (say 0#C) and current contracts. And get the prices. Is there a simple way to do this that pulls them in a single dataframe once you have the list of contracts?

Find more posts tagged with

python

commodities

Accepted answers

jonathan.legrand

Hi @Shadeun,

The Search API is what you're after. How many are you expecting to retrieve in one call? are we talking 1k or 100 million rows?

All comments

jonathan.legrand

Hi @Shadeun,

The Search API is what you're after. How many are you expecting to retrieve in one call? are we talking 1k or 100 million rows?

raksina.samasiri

Hi @Shadeun ,

Is this what you're looking for?

df, err = ek.get_data('0#C:',['TRDPRC_1','OPINT_1','EXPIR_DATE'])
df

where

TRDPRC_1 is the Last trade price or value
OPINT_1 is an Open interest
EXPIR_DATE is the date on which the future, option or warrant expires

To find the field name to be used, Data Item Browser (DIB) in Refinitiv Workspace/Eikon Desktop can be used, here's the video regarding DIB tutorial.

Hope this helps and please let me know in case there is any further question

Shadeun

Hi,

Would be a lot, perhaps 1k rows per contract and 100 contracts historically, so 100k 'cells'. But not an unrealistically large number of datapoints i think.

So you are suggesting i use the search function to find the contracts and then pull via ek.get_data?

EXPLORE OUR SITES