Specifying a list of instruments for Market Prices for Historical Price Summaries

navtej.riyait
navtej.riyait LSEG
in Refinitiv Data Platform

response = rdp.get_historical_price_summaries(
universe= ccy_pair,
interval=rdp.Intervals.DAILY,
# Supported intervals: ONE_MINUTE, FIVE_MINUTES, TEN_MINUTES, THIRTY_MINUTES, ONE_HOUR
#fields = ['BID','ASK'],
start=start_date_ts,
end=end_date_ts
)

I want to specify a list of ccy pairs instead of one ccy pair. Do you have an example of this in Python.

Tagged:

Best Answer

  • wasin.w
    wasin.w admin
    Answer ✓

    Hello @navtej.riyait

    Did you try the new Data Library - Python yet? The RD historical_pricing.summaries.Definition object support list of string as follows:

    rd-object.png

    Code:

    response = historical_pricing.summaries.Definition(
        universe = ['HUF=', 'EUR=', 'GBP=', 'CNH='], 
        interval=Intervals.ONE_MINUTE,
        fields = ['BID','ASK'],
        start = '2023-08-01 01:00:00',
        end = '2023-08-02 01:00:00    '
    ).get_data()
    response.data.df

    Result:

    result.png


Answers

  • raksina.samasiri
    raksina.samasiri admin

    Hi @navtej.riyait ,

    Could you please try using the list of instrument, for example, ['RIC1','RIC2','RIC3']

    In addition, I
    would recommend you look at the newer and strategic RD Library for Python

    For a position statement on the older
    RDP Library please see the overview page.

  • navtej.riyait
    navtej.riyait LSEG

    start_date = '2023-10-02 00:00:00.000'
    end_date = '2023-10-03 00:00:00.000'
    ccy_pair1 = ['HUF=', 'EUR=', 'GBP=', 'CNH=']

    response = rdp.get_historical_price_summaries(
    universe= ccy_pair1,
    interval=rdp.Intervals.DAILY,
    start=start_date,
    end=end_date
    )

    I get an error when using an instrument list. See below

    Traceback (most recent call last):

    File "C:\FX Surveillance\FX Options\get_market_prices_options_underlying.py", line 134, in <module>

    get_market_prices()

    File "C:\FX Surveillance\FX Options\get_market_prices_options_underlying.py", line 116, in get_market_prices

    historical_mkt_prices = get_historical_prices(ccy_pair, start_date, end_date)

    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

    File "C:\FX Surveillance\FX Options\get_market_prices_options_underlying.py", line 70, in get_historical_prices

    response = rdp.get_historical_price_summaries(

    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\factory\content_factory.py", line 646, in get_historical_price_summaries

    return ContentFactory._get_historical_price_summaries(

    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\factory\content_factory.py", line 252, in _get_historical_price_summaries

    historic_summaries = historical_pricing.get_summaries(

    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\content\data\historical_pricing.py", line 302, in get_summaries

    result = historical_pricing._get_summaries(

    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\content\data\historical_pricing.py", line 327, in _get_summaries

    return self._endpoint.session._loop.run_until_complete(

    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\nest_asyncio.py", line 59, in run_until_complete

    return f.result()

    ^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\asyncio\futures.py", line 203, in result

    raise self._exception.with_traceback(self._exception_tb)

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\asyncio\tasks.py", line 267, in __step

    result = coro.send(None)

    ^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\content\data\historical_pricing.py", line 523, in _get_summaries_async

    _result = await self._get_historicalpricing(

    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\content\data\historical_pricing.py", line 665, in _get_historicalpricing

    _result = await self._endpoint.send_request_async(

    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\delivery\data\endpoint.py", line 518, in send_request_async

    _url = self._update_url(

    ^^^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\delivery\data\endpoint.py", line 410, in _update_url

    value = urllib.parse.quote(value)

    ^^^^^^^^^^^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\urllib\parse.py", line 893, in quote

    return quote_from_bytes(string, safe)

    ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

    File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\urllib\parse.py", line 923, in quote_from_bytes

    raise TypeError("quote_from_bytes() expected bytes")

    TypeError: quote_from_bytes() expected bytes


  • navtej.riyait
    navtej.riyait LSEG

    Hi Wasin,

    I haven't had time to try yet.

    One question: Do I need to have Eikon running to use the RD libraries ?

    Regards

    Navtej

    ,

    Hi Wasin,

    I haven't had time to try yet.

    One question: Do I need to have Eikon running to use the RD libraries ?

    Regards

    Navtej

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