Historical data for bid/ask price

kyriakos.eleftheriadis
kyriakos.eleftheriadis Newcomer
in Eikon Data APIs

Hi

I am trying to reload data for fixed income etc bonds in pycharm. Specifically, i would like to retrieve historical data for the bid and ask prices with daily or minute interval. I used the following code :

start_date = datetime.datetime(2023, 3, 1)
end_date = datetime.datetime(2023, 3, 10)


df, err = ek.get_data(
    instruments=['NL188254462='],
    fields=['ASK', 'ASK_YIELD', 'BID_YIELD', 'BID'],
     start_date= 'start_date',
     end_date= 'end_date',
     interval='daily')

however it does not work.


Either when i used this one :

start_date = datetime.datetime(2023, 3, 1)
end_date = datetime.datetime(2023, 3, 10)


df = ek.get_timeseries(['NL188254462='],
                  fields = [ 'ASK', 'BID', 'ASK_YIELD', 'BID_YIELD'],
                  start_date=datetime.timedelta(-20),
                  end_date=datetime.timedelta(0),
                  interval='daily')

The output returns N/A values.

How should i fix this ?

Thank you in advance,

Best,

Kyriakos

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Best Answer

  • raksina.samasiri
    raksina.samasiri admin
    Answer ✓

    Hi @kyriakos.eleftheriadis ,

    Frq of minute is not available, you may use Data Item Browser tool available from Eikon deskop to confirm all available parameters and their respective values:

    1681708508261.png

    Or you can use use get_timeseries method instead of get_data. For example,

    import refinitiv.data.eikon as ek
    import datetime

    ek.set_app_key('###YOUR_APP_KEY###')

    start_date = datetime.datetime(2023, 3, 1).strftime('%Y-%m-%d')
    end_date = datetime.datetime(2023, 3, 10).strftime('%Y-%m-%d')

    ek.get_timeseries(['NL188254462='], 
                      start_date=start_date, 
                      end_date=end_date, 
                      interval='minute')
    1681708480231.png

Answers

  • raksina.samasiri
    raksina.samasiri admin

    Hi @kyriakos.eleftheriadis ,

    You could use these fields instead, they can be discovered using Data Item Browser 

    import datetime
    start_date = datetime.datetime(2023, 3, 1).strftime('%Y-%m-%d')
    end_date = datetime.datetime(2023, 3, 10).strftime('%Y-%m-%d')

    df, err = ek.get_data(
        instruments=['NL188254462='],
        fields=['TR.ASKPRICE','TR.ASKYIELD','TR.BIDPRICE','TR.BIDYIELD'],
        parameters={'SDate': start_date, 'EDate': end_date, 'Frq': 'D'})
    df

    1679997726580.png

    If you have any questions regarding the field name or content in Refinitiv, you can raise a ticket in MyRefinitiv as the moderators on this forum are expertise in API usage, not all the content available in Refinitiv.

  • kyriakos.eleftheriadis
    kyriakos.eleftheriadis Newcomer
    https://community.developers.refinitiv.com/discussion/comment/103683#Comment_103683
    Hi,

    Thank you for your answer. The same applies when i want to use the frequency as minute?

    I tried 'Frq': 'MIN' but i receive NA again.

    Kind regards,

    Kyriakos

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