Request different cut-off for FX pairs.

aquilesjlp300
aquilesjlp300 Contributor
in Eikon Data APIs

Hello,


If I wanted to request a time-series of AUD= MidPrice at 16 hours, I would do a request like this:


import eikon as ek
ek.set_app_key('xxxxxxxxxxxxxxxxxxxxx')
data = ek.get_data(["AUD16H="], "TR.MIDPRICE")


But what if I wanted to do so for 16.30 hours? Or 15.30 hours? Would something like that be possible?


Thanks in advance for any help you may provide.


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Best Answer

  • Alex.Putkov12
    Alex.Putkov12 LSEG
    Answer ✓

    @aquilesjlp300

    The example RIC you provided is a snapshot of FX spot rate at 4pm GMT with daily timeseries available. Such snapshots are only available hourly. If you need to know FX spot rate at a given time on a given day, you can use intraday timeseries. E.g.

    rdp.get_historical_price_summaries('AUD=',
                                       interval='PT30M',
                                       start='2021-04-07T15:30',
                                       end='2021-04-07T15:30',
                                       fields=['MID_PRICE'])

    The depth of history available for historical intraday summaries is 1 year. However, if you need daily timeseries of snapshots at say 15:30 GMT, constructing those from intraday timeseries would likely not be practical, as you would either need to request each datapoint separately or retrieve timeseries in say 30 min aggregation and discard all the datapoints you're not interested in.

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