download partial data and error handling

viquar.shaikh · August 1

start_date = '2021-12-31'

end_date = '2025-07-31'
isin = ['INNPCIL2826=', 'INMOFSA1618=', 'INAXBKF0621=', 'INKRNFV1125=', 'INPOTMK3034=', 'INNEEVM3034=']
bond_flds = ["TR.ASKPRICE.date","TR.ASKPRICE", "TR.BIDPRICE", "TR.ASKYIELD", 

             "TR.BIDYIELD", "TR.YIELDTOMATURITY", "TR.MODIFIEDDURATION", 

             "TR.AVERAGELIFE", "TR.ASSETSWAPSPREAD", "TR.BENCHMARKSPREAD", 

             "TR.ZSPREAD", "TR.OPTIONADJUSTEDSPREADBID", 

             ]
    df = ld.get_history(

        universe = isin,

        fields = bond_flds,

        parameters = {

            'SDate': start_date,

            'EDate': end_date,

            'Frq': 'M'

        }

    )

I'm trying to use the above structure to download pricing and analytics data using the LSEG data library. I face a problem that if any security is missing data, the code fails and and ends in error. I would like the partial data that was retrieved to be returned. If no security has any data available, an empty dataframe is also something I can work with. But the error message breaks the program without any data retrieved. Can you please help?

Currently I get a message like this

LDError: Unable to collect data for the field 'TR.ASKPRICE.DATE' and some specific identifier(s). Requested universes: ['INPOTMK3034=RRPS']. Requested fields: ['TR.ASKPRICE.DATE', 'TR.ASKPRICE', 'TR.BIDPRICE', 'TR.ASKYIELD', 'TR.BIDYIELD', 'TR.YIELDTOMATURITY', 'TR.MODIFIEDDURATION', 'TR.AVERAGELIFE', 'TR.ASSETSWAPSPREAD', 'TR.BENCHMARKSPREAD', 'TR.ZSPREAD', 'TR.OPTIONADJUSTEDSPREADBID']

raksina.samasiri · August 1

Hi @viquar.shaikh ,

Could you please let me know which version of the data library you're using?

I'm using v2.1.1 and I cannot replicate the issue mentioned, the field TR.ASKPRICE.DATE returns <NA> when there's no data

import lseg.data as ld

ld.open_session()

start_date = '2021-12-31'

end_date = '2025-07-31'
isin = ['INNPCIL2826=', 'INMOFSA1618=', 'INAXBKF0621=', 'INKRNFV1125=', 'INPOTMK3034=', 'INNEEVM3034=']
bond_flds = ["TR.ASKPRICE.date","TR.ASKPRICE", "TR.BIDPRICE", "TR.ASKYIELD",
             "TR.BIDYIELD", "TR.YIELDTOMATURITY", "TR.MODIFIEDDURATION",
             "TR.AVERAGELIFE", "TR.ASSETSWAPSPREAD", "TR.BENCHMARKSPREAD",
             "TR.ZSPREAD", "TR.OPTIONADJUSTEDSPREADBID", 
             ]
df = ld.get_history(
    universe = isin,
    fields = bond_flds,
    parameters = {
        'SDate': start_date,
        'EDate': end_date,
        'Frq': 'M'
        }
    )