CDS data via LSEG API, stuck after reading all Developer Community threads

stevan
stevan Newcomer
edited May 16 in Eikon Data APIs

Hi All

I’m doing some academic research around ESG and Credit Spreads and am using LSEG data for it.

The data I’m downloading from the LSEG Data platform via API. I’m able to download ESG and fundamental data, however, I’m struggling with the CDS Data.

I understand that the LSEG Data API is the new version of the Refinitiv API. I’m therefore accessing the LSEG Data platform via API, however, I’m struggling to get daily, weekly or monthly data. If I would get one (e.g. daily) I would build the respective averages I need myself. It’s some annual composite I need in the end. I have read all the Developer Community threads and have built scripts with them, however, I’m still struggling. Attached are the two Python files I’ve been working with (converted to txt files for security reasons). 

The universe I will collect CDS data for are ultimately all companies that have an ESG rating / coverage.

What am I doing wrong???

Thank you!

Stevan

cds_ric_data copy.txt
cds_data copy.txt
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Answers

  • stevan
    stevan Newcomer
    edited May 15

    Wonder if @haykaz.aramyan @pf @jonathan.legrand0 @zoya faberov and others might be able to help? 🙏

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @stevan

    Thank you for reaching out to us.

    Regarding the cds_ric_data.txt file, the errors indicate that the TR.CDSMIDSPREAD field is not available on those RICs. You need to contact the helpdesk team directly via MyAccount to verify which RICs and fields that can be used to retrieve the required data.

    Error processing VOD.L: Unable to resolve all requested fields in ['TR.CDSMIDSPREAD'].

    Regarding the cds_data.txt file, if I change MSFT5YUSAX=MT and MSFT5YUSAX=MP to MSFT5YUSAX=R and MSFT5YUSAX=R respectively, I can retrieve the data. 

    instruments = [
            {
                "tag": "Cds1_InstrumentCode",
                "code": "BNPP5YEUAM=R",  # BNP Paribas 5Y EUR CDS
                "description": "BNP Paribas"
            },
            {
                "tag": "Cds2_InstrumentCode",
                "code": "MSFT5YUSAX=R",  # Microsoft 5Y USD CDS
                "description": "Microsoft"
            },
            {
                "tag": "Cds3_InstrumentCode",
                "code": "MSFT5YUSAX=R",  # Microsoft 5Y USD CDS
                "description": "Microsoft Mid"
            },
            {
                "tag": "Cds4_InstrumentCode",
                "code": "MSFT5YUSAX=R",  # Microsoft 5Y USD CDS
                "description": "Microsoft Mid-Point"
            }
        ]

    You need to contact the Instrument Pricing Analytics - Delivery Platform support team directly via MyAccount to verify it.

    This forum is dedicated to software developers using LSEG APIs.

    The moderators on this forum do not have deep expertise in every bit of content available through LSEG products, which is required to answer content questions such as this one.

    The best resource for content questions is the Helpdesk support team, which can be reached by submitting queries through MyAccount. The support team will either have the required content expertise ready available or can reach out to relevant content experts to get the answer for you.

  • stevan
    stevan Newcomer
    https://community.developers.refinitiv.com/discussion/comment/125791#Comment_125791

    Thank you @Jirapongse for your help. I'll continue with the suggested fix for cds_data.txt and see how far I get.

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