How can I get the name of the contract that belongs to ESc1 at the various points in time?

jerome
jerome Explorer
in Eikon Data APIs

Hi

When I get a timeseries such as ESc1, I would now get the data for the March contract and then in a few weeks it would move to June. How can I get that information from the .NET API?

I use NDA_Raw to get all the timeseries data.

Thanks

Jerome

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Best Answer

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

    I see. Well, you can easily retrieve all the expiry dates as of today. But I don't believe this data is available through Eikon historically. It's not the matter of which API you use. I don't believe this history is available in Eikon at all. Again I suggest you verify this and get an authoritative answer from the Helpdesk. If this history exists in Eikon and the Helpdesk can show you how to retrieve it into Excel, then I can help you with retrieving it programmatically.

Answers

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

    I don't believe this info is available historically from Eikon. You may want to verify this with Refinitiv Helpdesk by asking them if there's a way to retrieve the history of contract expiry dates or contract reference for continuation future RICs into Excel or to view it in Eikon application.
    If I'm correct and this data is not available in Eikon historically, you can fairly easily calculate the expiry date yourself from the trade date, since the rollover schedule for these futures is predictable.

  • jerome
    jerome Explorer

    Thanks Alex. I am dealing with 80+ different futures contracts on 17 exchanges. Each of them has a different roll mechanism. Is there a way to get all the expiry dates for the various E-mini Chains? Is that possible in C# or should that be done in Python?

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