Bid/Ask fields on Eikon Data API

Hi team,
Using 0700.HK and 7832.T as the example instruments
1) Does Eikon Data API provide multiple bid and ask levels beyond the best one?
2) For the field 'Bid' and 'Ask', does it support interval of tick and minute? If so, how long is the history we can have through Eikon Data API?
Best Answer
-
1. If your Eikon account is entitled to Level 2 data for these exchanges you can retrieve several levels of best bid/ask using Level 2 RICs. The number of levels available varies by exchange. The code snippet below retrieves 10 best bid/ask levels for 7832.T (using Level 2 RIC D7832.T) and constructs the dataframe mimicking the market by price orderbook view.
bid_flds = ['BEST_BID' + str(x) for x in range(1,11)]
ask_flds = ['BEST_ASK' + str(x) for x in range(1,11)]
df_tmp, err = ek.get_data('D7832.T', bid_flds + ask_flds)
df=pd.DataFrame()
df['BID'] = df_tmp.loc[0,bid_flds].reset_index(drop=True)
df['ASK'] = df_tmp.loc[0,ask_flds].reset_index(drop=True)
df2. Using RDP Library you can retrieve tick timeseries for bid and ask and OHLC for bid and ask in 1 minute aggregation. Tick history goes back 90 days, 1 minute history goes back 1 year.
rdp.get_historical_price_summaries('7832.T',
fields=['OPEN_BID', 'BID_HIGH_1',
'BID_LOW_1', 'BID',
'OPEN_ASK', 'ASK_HIGH_1',
'ASK_LOW_1', 'ASK'],
interval='PT1M')0
Answers
-
On 2) does the history support 10 best bid/ask as well given the license is there?
And does it mean I can access RDP library if I have Eikon Data API access?
0 -
0
Categories
- All Categories
- 3 Polls
- 6 AHS
- 36 Alpha
- 166 App Studio
- 6 Block Chain
- 4 Bot Platform
- 18 Connected Risk APIs
- 47 Data Fusion
- 34 Data Model Discovery
- 685 Datastream
- 1.4K DSS
- 615 Eikon COM
- 5.2K Eikon Data APIs
- 10 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- 3 Trading API
- 2.9K Elektron
- 1.4K EMA
- 252 ETA
- 556 WebSocket API
- 38 FX Venues
- 14 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 23 Messenger Bot
- 3 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 60 Open Calais
- 275 Open PermID
- 44 Entity Search
- 2 Org ID
- 1 PAM
- PAM - Logging
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 22 RDMS
- 1.9K Refinitiv Data Platform
- 652 Refinitiv Data Platform Libraries
- 4 LSEG Due Diligence
- LSEG Due Diligence Portal API
- 4 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.2K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 12 World-Check Customer Risk Screener
- 1K World-Check One
- 46 World-Check One Zero Footprint
- 45 Side by Side Integration API
- 2 Test Space
- 3 Thomson One Smart
- 10 TR Knowledge Graph
- 151 Transactions
- 143 REDI API
- 1.8K TREP APIs
- 4 CAT
- 27 DACS Station
- 121 Open DACS
- 1.1K RFA
- 104 UPA
- 193 TREP Infrastructure
- 228 TRKD
- 917 TRTH
- 5 Velocity Analytics
- 9 Wealth Management Web Services
- 90 Workspace SDK
- 11 Element Framework
- 5 Grid
- 18 World-Check Data File
- 1 Yield Book Analytics
- 46 中文论坛