Retrieving historical bid-ask quotes for bonds
Is it possible to retrieve historical values for the fields "PRIMACT_1" (bid) and "SEC_ACT_1" (ask)? Currently i can only manage to retrieve the live value from those fields through the eikon API. I currently use R for this, but i could also use python, if there is better support for the API there.
Best Answer
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Hi @ss01 ,
You can use RD Libraries for python:
import refinitiv.data as rd
rd.open_session()rd.get_history('594918BB9=')
This will return all available pricing fields for the instrument:
Then you can use the field parameter to specify fields if you want to:
rd.get_history('594918BB9=', fields=['BID', "ASK"])
Hope this helps.
Best regards,
Haykaz
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Answers
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Thank you, i got the same output using the Cusip from the bond in your example. I tried the get_history function on some norwegian bonds, and got no outputs. Is get_history not available for norwegian bonds, and if it is, what do i use as identifier? Since Cusip does not exist on them.0
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Hi @ss01 ,
It should be available for Norwegian bonds as well, I would suggest using RIC though. You can convert CUSIP to RIC using Symbology conversion capabilities of the Library- Example.DataLibrary.Python/Examples/2-Content/2.05-Symbology/EX-2.05.01-Symbology.ipynb at main · LSEG-API-Samples/Example.DataLibrary.Python (github.com)
If you will still have any issues, feel free to provide a couple of CUSIPs I will try on my end as well.
Best regards,
Haykaz
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Thank you, when i used the Symbology conversion to convert Isin to RIC, it worked.
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