Historical Bid/Ask price and size at 10 levels

gk21271

Hi,

I am using refinitiv data's get_history() function to retrieve historical bids/asks (1 minute frequency) along with sizes/depth. I only managed to get best bid/asks but not at level 2, 3, 4 and so on (I need upto 10 levels ideally).

Please see the code snippet below. Can someone help as to what should I add more to get additional details.

Can someone also explain that why certain fields under data item browser like A_LEVEL_1, B_LEVEL_1 do not work? I tried but they do not produce anything (comes up with NaN values).

Look forward to hearing on it.

Thanks,

Jirapongse

@gk21271

The get_history function retrieves historical data from the historical-pricing Refinitiv Data Platform endpoint. The valid fields of minute interval data for ETH= are:

"headers": [
      {
        "name": "DATE_TIME",
        "type": "string"
      },
      {
        "name": "BID_HIGH_1",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "BID_LOW_1",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "OPEN_BID",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "BID",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "BID_NUMMOV",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "ASK_HIGH_1",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "ASK_LOW_1",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "OPEN_ASK",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "ASK",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "ASK_NUMMOV",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "MID_HIGH",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "MID_LOW",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "MID_OPEN",
        "type": "number",
        "decimalChar": "."
      },
      {
        "name": "MID_PRICE",
        "type": "number",
        "decimalChar": "."
      }
    ],

It doesn't support the A_LEVEL_1, B_LEVEL_1 fields so it can't provide Historical Bid/Ask price and size at 10 levels.