AVAT (Average Volume at Time),20-day average volume at a specific time,

Hi @chris.xiao ,

You can use the https://developers.lseg.com/en/api-catalog/lseg-data-platform/lseg-data-library-for-python to retrieve this information. In case you have a Workspace account, you can use the Desktop session of Data Library with the Workspace/Eikon application up and running on the same machine. The example code is

import lseg.data as ld

ld.open_session()


ld.get_data(

    universe=['MSFT.N', 'RY.TO'],

    fields=['TR.AvgDailyVolume20D']

)

Here's the result

https://developers.lseg.com/en/video-catalog/data-item-browser can be used to find the field you are looking for.