Is it possible to get a time-series of "Quotes" intraday numbers?

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davide.costanzo
davide.costanzo Explorer
in Eikon Data APIs

I'd like to get a "Quotes" (best Bid and Ask , top of the book ) time series for a certain ric. For example with 1 minute time between the entries.

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Best Answer

  • umer.nalla
    umer.nalla LSEG
    Answer ✓

    Hi @davide.costanzo

    The rdp,get_snapshot() function does not appear to be working for a desktop session- I will check if this is by design or a beta version issue.

    In the meantime, you can use the StreamingPrices object to do the same e.g.

    streaming_prices = rdp.StreamingPrices(universe=['EUR='], fields=['BID','ASK','ACVOL_1', 'OFFCL_CODE', 'ACTIV_DATE'])
    streaming_prices.open()

    and then call the following as and when required:

    streaming_prices.get_snapshot()

    image




Answers

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

    You can get it using RDP Library. See Intraday Pricing Summaries examples in Jupyter notebooks 2.1.0 - 2.1.2 following the link below.

    https://github.com/Refinitiv-API-Samples/Example.RDPLibrary.Python

  • davide.costanzo
    davide.costanzo Explorer

    thank you for the quick reply,

    I tried the following code, but the get_snapshot function returns 'None' , do you know why?

    thank you!

    eikon_key = 'dbxxxxxxxxxxxxxxxxxxxxxxxxxxxxxb'
    import refinitiv.dataplatform as rdp
    rdp.open_desktop_session(eikon_key)
    rdp.get_snapshot( universe = ['GBP=','JPY='],  fields   = ['BID','ASK'] ) 
  • chavalit-jintamalit
    chavalit-jintamalit admin

    Hi @davide.costanzo

    You can try this sample code:

    import refinitiv.dataplatform as rdp 
    rdp.open_desktop_session('DEFAULT_CODE_BOOK_APP_KEY') 
    response = rdp.HistoricalPricing.get_summaries(universe = 'GBP=',
                                                    fields = ['BID','ASK'],
                                                    interval = rdp.Intervals.ONE_MINUTE) 
    display(response.data.df)

    Please change DEFAULT_CODE_BOOK_APP_KEY to your appkey.

    image

  • davide.costanzo
    davide.costanzo Explorer

    this one works, thank you !

    Is it possible to get the 1-minute-interval quotes for LCOc1 over 1 full past day ? (I seem to be able to get only the last few minutes)

  • davide.costanzo
    davide.costanzo Explorer

    Also, is there any data amount limit with this API , like for the Eikon one?

  • chavalit-jintamalit
    chavalit-jintamalit admin

    Hi @davide.costanzo

    I can pull more than 1 full day data of LCOc1.

    image


    I believe that the same limitation as Eikon Data API would be applied to RDP Library.

  • davide.costanzo
    davide.costanzo Explorer

    thanks, works now, the date format was wrong.


    But the get_snapshot function still returns None. It is useful to me to obtain several rics with just one call.

    Do you have some idea of the reason ?

    Do you have some alternative way to obtain multiple rics quotes time series with just one call ?


    thank you



  • umer.nalla
    umer.nalla LSEG
    https://community.developers.refinitiv.com/discussion/comment/68790#Comment_68790

    Hi @davide.costanzo

    I believe the rdp.get_snapshot() targets the Refinitiv Data Platform API for snapshots, whereas the StreamingPrice is actually consuming streaming data, caching it behind the scenes and you can then snapshot the cached values as required.

    There are different licensing requirements for using the RDP API

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    https://community.developers.refinitiv.com/discussion/comment/68789#Comment_68789

    If you're looking to get intraday timeseries for multiple RICs, there's no way to do this currently. If you're looking to get a snapshot of current market data for multiple RICs, that's possible using get_data method of Eikon Data APIs. RDP Library includes module named Eikon, which provides all the functionality available in Eikon Data APIs library.

    import refinitiv.dataplatform as rdp
    import refinitiv.dataplatform.eikon as ek
    rdp.open_desktop_session('MY_APP_KEY')
    df, err = ek.get_data(['EUR=','GBP='],['BID','ASK'])
    df

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