How to to gather daily returns data for all US-traded equities from a period starting from the ea...

@marceugene.belen

Thank you for reaching out to us.

You can get the list of RICs by using the following code.

lse_equities["RIC"].to_list()

However, the get_data method is not desinged to retrieve a lot of data at once. Therefore, you need to split to multiple requests, such as requesting data for ten RICs at a time.

The sample code looks like this. This is just a sample so we will not support it.

from refinitiv.data.errors import RDError

def GetDataRetry(universe, fields,parameters):
    retry = True
    retry_max = 5
    retry_count = 1
    while retry==True:
        try:
            retry=False
            df = rd.get_data(
                universe,
                fields,
                parameters)
            return df
        except RDError as err:
            if "Backend error. 400 Bad Request" in err.message:
                retry_count = retry_count + 1
                if retry_count<=retry_max:
                    print("Retry "+universe)
                    retry=True
                else:
                    print("Retry reach max and unable to get the data for "+universe)
                    return None
            else:
                print(str(err.code)+" "+err.message)
                return None




def split_instruments(instruments, chunk_size=5):
    """Yield successive chunk_size chunks from instruments."""
    for i in range(0, len(instruments), chunk_size):
        yield instruments[i:i + chunk_size]
 
instrument_chunks = list(split_instruments(lse_equities["RIC"].to_list(), 10))
 
dfs = []
 
for chunk in instrument_chunks:
    # Fetch data for the current chunk of instruments
    print(chunk)
    df_chunk = GetDataRetry(chunk,
                            [
                               'TR.TotalReturn.date',
                               'TR.TotalReturn'
                            ],
                           {'SDate':'2010-01-01','EDate':'2024-09-24','Frq':'D'})
    dfs.append(df_chunk)