Historical block trades data

estelle.arnau · December 2018

In Eikon, I can use the "block trades viewer" to access block trades historical data. I can also in excel get the info for the last (only the last one) traded block trade (=TR("NOOZ8","BLK_DATE;BLK_PRC1;BLKTRDVOL;BLKVOLUM;BLKTIM_MS;BLKCOUNT","CH=Fd RH=IN") ). I can do it in python too. However, I cannot get the historical data in python/or excel.

estelle.arnau · December 2018

@marcin.bunkowski: hi Marcin, thanks again for your answer. Do you know how i could get historical intraday data

Zhenya Kovalyov · December 2018

@500ff8e1-6855-49d9-8d4e-1ebec2ac0bc3_deprecated_8b51c903-e793-4e5f-9ff7-1783b76e986b this is a content question, I suggest you speak to your local Refinitiv Support desk, they should be able to help you with figuring it out for Excel. If it is possible, we can revisit this question from the API side of things.

estelle.arnau · December 2018

The Refinitiv support desk asked to me to ask on the developer community site!!

From: "customersupport@thomsonreuters.com" <customersupport@thomsonreuters.com>
Date: 18 December 2018 at 19:47:10 CET
To: "estelle.arnau" Subject: RE: Case : 07187953 Block trades for RIC NOOZ8 - from Thomson Reuters [ ref:_00D30602X._5001W1PxUmM:ref ]
(...) The best group that would be able to provide you the exact information you need would be our developer team. The team monitors a website wherein you can post your queries to them directly. It is the Developer Community which is our single point of access for all our APIs. (...) You can sign in using this link - https://developers.thomsonreuters.com
Here are the steps on how to post a question on the Developers Community portal after you have signed in
1. Click on the hyperlink for Latest Questions & Answers found under the tab Ask a Question
2. Click on the orange button for Ask a question
3. Fill in the required items for Ask a question s

m.bunkowski · December 2018

Hi @500ff8e1-6855-49d9-8d4e-1ebec2ac0bc3_deprecated_8b51c903-e793-4e5f-9ff7-1783b76e986b

You were asking about the solution in python/excel. The timeseries for blocktrades is not available via Python API however you can do a call in Eikon Excel for a daily interval

=RHistory("NOOZ8","BLKVOLUM.Timestamp;BLKVOLUM.Value","INTERVAL:1D",,"CH:Fd",)

If you have further questions on this formula you can continue with your opened ticket.

estelle.arnau · December 2018

Thanks Marcin!

Now: the 1D interval gives me one point a day. I tried these values for INTERVAL: TICK, TAS, TAQ, TASTAQ, 1M, 5M, 15M, 60M but got only #NA.. Do you know if it is possible to get intraday data?

Also: comparing with ICE screens, it appears that the blocktrades data in eikon actually includes EFPs. I'll ask the refinitiv support about it, but if you know how to filter them out, i'm interested.

m.bunkowski · December 2018

https://community.developers.refinitiv.com/discussion/comment/36397#Comment_36397

Hi @500ff8e1-6855-49d9-8d4e-1ebec2ac0bc3_deprecated_8b51c903-e793-4e5f-9ff7-1783b76e986b

For some instruments there are fields for a block volume but they are not populated like an example below:

RHistory("CLc1","BLKVOLUM.Timestamp;BLKVOLUM.Value;BLKVOLUM.Count","INTERVAL:TICK",,"CH:Fd",)

This question is more of a content nature and you need to check with Refinitiv Helpdesk why the data is not stored under those fields.

estelle.arnau · December 2018

ok will check with them; thanks again.

estelle.arnau · December 2018

https://community.developers.refinitiv.com/discussion/comment/36417#Comment_36417

No idea why Marcin comment above has vanished from the thread... But i well noted that data is missing for some indices with INTERVAL:TICK

Historical block trades data

Welcome!

Best Answer

Answers

Welcome!

Welcome!

Quick Links

Categories