Missing dates for get_timeseries and no VWAP data for German stocks

wasim
wasim Explorer
in Eikon Data APIs
  • When
    using the ‘get_timeseries’ function if I specify a date range for the
    previous 2 weeks on these two RICs, ‘ARONL.S’ and ‘SCF.L’ no data for the
    dates ‘2018-01-05’ and ‘2018-01-08’ get returned even though these are
    trading days for their respective exchanges. Why is this?
  • I
    can’t seem to collect the timeseries VWAP prices for German and Oslo
    stocks. I have tried using the ‘get_data’ function and calling the
    variables ‘TR.TSVWAP’ and ‘VWAP.Value’ however it always returns an empty
    dataframe. The slightly confusing thing for me is that I can collect the
    VWAP prices using the process table in Excel, so the data is there.
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Best Answer

  • Zhenya Kovalyov
    Zhenya Kovalyov LSEG
    Answer ✓

    @wasim,

    1. Some of the instruments may not be traded daily due to illiquidity. For instance, I could not find any trades for ARONL.S for 2018-01-05. Here is the request and the result:

    ts = tr.get_timeseries(rics=['SCF.L', 'ARONL.S'], fields="CLOSE", start_date='2018-01-01', end_date='2018-01-20', interval="daily")

    image

    2. For VWAP, you try this:

    response, err = tr.get_data(instruments=['SCF.L', 'ARONL.S'], fields=['TR.TSVWAP.date','TR.TSVWAP.value'], parameters={'Frq':'D','SDate':'0','EDate':'-9'})

    vwap = response.pivot_table(values='VWAP', index=['Date', 'Instrument']).unstack('Instrument')

    image

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