Strange output of get_timeseries on FX Spot data

sumit

I have this bit of code..

With this I see a very sparse dataset (see attached pic). Some obeservations....

1. FX is almost a 24x6 - so I was hoping to get more dense dataset

2. For JPY- I don't get any data till 23:00

3. For GBP= I dont get data till 22:00 (London market starts at 9:00 GMT)

I believe my Eikon settings are set to UTC.

Any idea where I might be going wrong?

tick_data = ek.get_timeseries(
    ['EUR=', 'GBP=', 'AUD=', 'NZD=', 'CAD=', 'JPY='],
    fields=['BID', 'ASK'],
    start_date='2022-08-04T00:00:00',
    end_date='2022-08-04T23:59:59',
    interval='taq'
)
tick_data = tick_data.resample('1s').mean().dropna(how='all')

Find more posts tagged with

python

eikon

eikon-data-api

Accepted answers

Jirapongse

@sumit

Sorry about the issue that you are facing.

The request may breach the limitations of Eikon Data API.

get_timeseries: The current limit value (10-Oct-2019) is 3,000 data points (rows) for interday intervals and 50,000 data points for intraday intervals. This limit applies to the whole request, whatever the number of requested instrument.

I requested for one RIC and I can get the data properly.

I hope that this information is of help

All comments

Jirapongse

@sumit

Sorry about the issue that you are facing.

The request may breach the limitations of Eikon Data API.

get_timeseries: The current limit value (10-Oct-2019) is 3,000 data points (rows) for interday intervals and 50,000 data points for intraday intervals. This limit applies to the whole request, whatever the number of requested instrument.

I requested for one RIC and I can get the data properly.

I hope that this information is of help

sriseshagiri.g

What python packages do i need to get these data on my jupyter notebook ?

Jirapongse

@sriseshagiri.g

It is Eikon Data API. It retrieves data through Eikon or Refinitiv Workspace running on the same machine. For more information, please refer to the Eikon Data API Overview page.

EXPLORE OUR SITES