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    • How to get only trading days in Datastream data?

    lmotta
    lmotta Newcomer
    in Datastream

    Hi,


    When I try to get data for the instrument <DOLc1> it is returning data for non-trading days.

    I tried using Python Datastream module:

    ds.get_data(tickers='<DOLc1>', fields=['PS'], freq='D', start='2021-01-01")

    This will return, e.g., data for 2021-01-25, which was a holiday in Sao Paulo and the exchange was closed. My data in the end has lots of duplicated values due to this.

    How can I ask Datastream the data without the non-trading days?

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    Best Answer

    • Jirapongse
      Jirapongse ✭✭✭✭✭
      Answer ✓

      @lmotta

      Thank you for reaching out to us.

      Please try the following code.

      df1 = ds.get_data(tickers='<DOLc1>', fields=['PS#S'], freq='D', start='2021-01-01')

      1688612162834.png

    Answers

    • lmotta
      lmotta Newcomer

      @Jirapongse

      Thanks! It worked. I tested for a small and large sample.

      As a final question: what does #S mean exactly?

    • Jirapongse
      Jirapongse ✭✭✭✭✭

      @lmotta

      The #S qualifier unpads values where the underlying data point is stored as a null value - so displays N/A for null values rather than pad the last real value. This padding may occur where the closing price is not published by an exchange for a stock due to:

      • The stock does not trade
      • The stock is suspended
      • An exchange holiday

      then the closing price is stored as a null. P#S will display this value as N/A.

    • lmotta
      lmotta Newcomer
      Jirapongse
      Thank you, this was very useful. Is there a documentation for expressions such as #S? I tried to find this in the Datastream function catalogue but #S is not considered a function there.
    • Jirapongse
      Jirapongse ✭✭✭✭✭
      lmotta

      @lmotta

      You can find it in the Datastream Navigator with the Datatype Search.

      1688957048116.png


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