Time And Sales in Python: select fields to retrieve

emmanuel.godet · June 2018

Hi, I am trying to pull trades for MiFID RICs. I wrote:

df = ek.get_timeseries(["DE0001102408=TWEA"],
interval = 'tick',
start_date="2018-06-01",
end_date="2018-06-30")

THis retrieves trade datetime, value and volume.

Can someone tell how to retrieve publication time, trade id, trade flags, etc.?

Cheers,

Emmanuel

Zhenya Kovalyov · June 2018

this data is not present in the tick interval views, but rather time and sales (TAS) which is not currently supported.

Alex Putkov.1 · June 2018

@emmanuel.godet
The only two APIs currently available through Eikon that provide the capability to retrieve the data you're after are RHistory COM library, which can only be used in Excel VBA, and Eikon .NET API.

emmanuel.godet · June 2018

Thanks both of you. Is the permissioning of the calling python app, which uses a key I created with my Eikon account, will be the same as when I use Eikon? (I could probably experiment a bit, but you can probably answer my question quicker:))

Alex Putkov.1 · June 2018

https://community.developers.refinitiv.com/discussion/comment/29194#Comment_29194

If you're asking about data entitlements, the answer is yes. Since Eikon APIs retrieve data from Eikon platform, the same data entitlements are enforced as when you use Eikon application or Eikon Excel.

Time And Sales in Python: select fields to retrieve

Best Answer

Answers

Categories

EXPLORE OUR SITES

Time And Sales in Python: select fields to retrieve

Best Answer

Answers

Categories