Cumulative volume and Open Interest of futures

davide.costanzo
davide.costanzo Explorer
in Eikon Data APIs

I'd like to download cumulative volume and Open Interest (i.e. across all the maturities) for LCO, CL, RB , HO and LGO futures and the respective exchange traded pairs. I know that for LCO and LGO there are the rics LCOTOT and LGOTOT exactly for that purpose, but I'd like to find a way to download :


1) Cumulative volume for:

- HO

- RB

- CL

- all the pairs (e.g. LCOc1-LCOc2 + LCOc2-LCOc3 + etc..)


2) Cumulative Open Interest for:

- HO

- RB

-CL

- all the pairs (e.g. LCOc1-LCOc2 + LCOc2-LCOc3 + etc..)



thank you very much

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Best Answer

  • m.bunkowski
    m.bunkowski LSEG
    Answer ✓

    Hi @davide.costanzo

    For futures you can always try to add suffix "TOT" to the RIC root to check whether there are RIC codes with that summarization:

    ek.get_data(['HOTOT','RBTOT','CLTOT'],['OPINT_1','HST_VOL'])

    image

    For future spread RICs we don't have them but you can easily do the summary in pandas. However it seems that there is only volume for those contracts available.

    df, e = ek.get_data('0#LCO-:','ACVOL_1')
    df['ACVOL_1'].sum()


Answers

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @davide.costanzo

    Please directly contact the Eikon support team via MyRefinitiv and ask for the formula (=TR) that can be used in the Eikon Excel to get the required data.

    If the formula is available, it can be applied to the get_data method in the Eikon Data API to retrieve the same data.

    Otherwise, you can use the Data Item Browser tool to find the required data. To use the Data Item Browser, please refer to this article.

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