historical values using RF API. for BID.High and ASK.HIGH

Laarni Evelyn Acierto.Santiago
Laarni Evelyn Acierto.Santiago LSEG
in RFA

Client wants to retrieve historical values using RF API. They are trying to get BID.High and ASK.HIGH for the RICs INRSM6M10Y=

INRSM6M3Y=
INRSM6M4Y=
INRSM6M5Y=
INRSM6M7Y=
INRSM6M11Y=
INRAMONMI1Y=
INRSMONMI2Y=
INRSMONMI3Y=
INRSMONMI4Y=
INRSMONMI5Y=
INRAMONMI6M=
INRAMONMI3M=
INRAMONMI2M=
INRAMONMI1M=
INRAMONMI4M=
INRAMONMI9M=

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    RFA API cannot retrieve any intraday timeseries. The only thing you can do with RFA for this use case is subscribe to the real-time stream of updates for BID and ASK fields, store the timeseries locally and then calculate the 10 minute high and low from the locally stored timeseries. RFA will only provide the real-time stream of updates. Local storage of the timeseries and high/low calculations will need to be implemented using other means.

Answers

  • Zhenya Kovalyov
    Zhenya Kovalyov LSEG

    If by RF API you mean the Eikon Data API for Python, it is not currently possible. I suggest looking into RHistory for Excel VBA or .NET Time Series Data API

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭

    @Laarni Evelyn Acierto.Santiago
    I'm afraid I cannot relate the term "RF API" used in the question to any Thomson Reuters APIs I'm familiar with. I can only speculate that perhaps the client meant RFA API? If this is the case, then they can get current daily, weekly, monthly and yearly highs using the fields HIGH_1, WEEK_HIGH, MONTH_HIGH, YRHIGH. All of these highs represent the bid side of the quote. There are no offer highs for the swap RICs in question on Elektron, which is where RFA retrieves data from. RFA also cannot retrieve any timeseries of history, except from the legacy TS1 system, which is deemed for the sunset and which I wouldn't mention to a client, unless a client specifically asks about it.

  • Jam.Santillan
    Jam.Santillan LSEG

    Hi @Alex Putkov.1

    I am monitoring Laarni's case while she is away. I have provided your answer to the client However, he replied back stating:

    "We do not need the daily, weekly or monthly rates. Bid High and Ask High rates are available for every 10 minutes during a day. How can we fetch this through our RFA API?"

    Is there a way to get daily rates of every 10 minutes?

    Thanks,

    Jam Santillan

    CSE

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