How can I repeat the data for last trading day

abbanerjee
abbanerjee Explorer
in Eikon Data APIs

I have a need where I am select the price data for last 2 days. The issue is that when the previous day is a non-business day, it generates a dataframe with just one row instead of 2 rows when the previous day is a business day.

eikon.get_timeseries('PRCM.NS', start_date=datetime.datetime(2016,8,21),end_date=datetime.datetime(2016,8,22), fields='CLOSE', ,calendar='calenderdays')

When I submit this request I get


PRCM.NS     CLOSE
Date             
2016-08-22  145.0

I want it to show 
PRCM.NS     CLOSE
Date
2016-08-21  146.1 (which is the data for last business day)             
2016-08-22  145.0

The actual data is 

PRCM.NS     CLOSE
Date             
2016-08-19  146.1
2016-08-22  145.0


So basically, in case the first day is a non-business day, I want the data from the last business day to be used.
How can I do it ?
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Best Answer

  • m.bunkowski
    m.bunkowski LSEG
    Answer ✓

    Hi @abbanerjee

    You can try with:

    df, err = ek.get_data(['GRUH.NS'], ['TR.CLOSEPRICE.date','TR.CLOSEPRICE(Adjusted=0)'], {'SDate': '2016-08-21', 'EDate': '2016-08-22', 'Frq':'C', 'FILL':'PREVIOUS' }) df

Answers

  • Zhenya Kovalyov
    Zhenya Kovalyov LSEG

    @abbanerjee Eikon API does not provide you with this functionality, use pandas:

    from pandas.tseries.offsets import BDay
    end_date = datetime.datetime(2016,8,22) - BDay(1)

    image

  • m.bunkowski
    m.bunkowski LSEG
    https://community.developers.refinitiv.com/discussion/comment/38180#Comment_38180

    @abbanerjee

    You can also do it using data cloud fields with TR. prefix like below, setting up frequency to C which is calendar days:

    df, err = ek.get_data(['PRCM.NS'], 
                          ['TR.PriceClose.date','TR.PriceClose'],
                          {'SDate': '2016-08-21', 'EDate': '2016-08-22', 'Frq':'C' })
    df

    image

  • abbanerjee
    abbanerjee Explorer

    When I try with the following - given I want to use unadjusted price

    eikon.get_data(['GRUH.NS'],['TR.OFFICIALCLOSEPRICE.date','TR.OFFICIALCLOSEPRICE'],{'SDate': '2016-08-21', 'EDate': '2016-08-22', 'Frq': 'C', 'Adjusted': '0'})

    It does not work

    I get

    ( Instrument Date Official Close Price

    0 GRUH.NS 2016-08-21T00:00:00Z NaN

    1 GRUH.NS 2016-08-22T00:00:00Z 310.85, None)

  • abbanerjee
    abbanerjee Explorer

    I somehow need to get Freq C and Unadjusted price working together. Is that possible ?

  • abbanerjee
    abbanerjee Explorer

    Thanks !

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