Best way to get the price for the next expiring Dow Jones and NASDAQ future contracts?

@tmohann

I'm not a python expert but was able to work through the calculation of days until expiry as follows (the simplification is at the end).

I used datetime to do the subtraction of dates between today and the expiration.

You won't see the output of the code here, except for the last one, but it works for me in my jupyter notebook, and would encourage you to try it out.

#Do the imports...

import eikon as ek
import configparser as cp
import pandas as pd

import datetime as dt
from datetime import datetime, date, time

#Get the app key setup
cfg = cp.ConfigParser()
cfg.read('eikon.cfg')
#Eikon.cfg must be in the same folder as script here, and contains the key
key = cfg['eikon']['key']
ek.set_app_key(key)

#Get the Eikon data - in this case a future expiry date
future, err = ek.get_data('NQc1','EXPIR_DATE')
future

#The above puts out a pandas dataframe but we want a string so we can parse it into a datetime format
stringExpDate = future["EXPIR_DATE"][0]
stringExpDate

dateTimeExpDate = datetime.strptime(stringExpDate, "%Y-%m-%d")
dateTimeExpDate

dateExpDate = dateTimeExpDate.date()   # convert exDate to date from datetime
dateExpDate

todayDate = dt.date.today()   #Get today's date
todayDate

#Now a simple subtraction is supported with datetime

difference = dateExpDate - todayDate
difference

difference.days  # use the days attribute to get the days from this timedetla datatype...

#Here is the simplification

future, err = ek.get_data('NQc1','EXPIR_DATE') # get the Eikon data, in this case an expiration date for an option
days = (datetime.strptime(future["EXPIR_DATE"][0], "%Y-%m-%d").date() - dt.date.today()).days  #get the number of days until it expiration
days

10

That is a good workaround. Just keep in mind that each exchange and contract have different expiry rules (am assuming already factored into your analysis). If you ever need to check you can reference contract trading details by exchange/instrument.