Bid/Ask fields on Eikon Data API

@karl.kwok

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)
df

2. 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')