ek.get_timeseriesで複数銘柄のデータ取得における、取得期間不足の問題

tomoya.suzuki.lab
tomoya.suzuki.lab Newcomer
in Eikon Data APIs

pythonにおいて、下記プログラムで日経225の構成銘柄のデータを期間2017-01-01 ~ 2021-02-18で同時に取得した所、期間2017-01-01 ~ 2021-02-01のデータが取得できませんでした。
この原因はなんでしょうか？　また、どのように改善を行えばよろしいでしょうか？


app = ''

import eikon as ek

import numpy as np

import pandas as pd

from tqdm.auto import tqdm


ek.set_app_key(app)


target_data_code = ek.get_data(['0#' + '.N225'],fields = 'DSPLY_NMLL')

code = list(target_data_code[0]["Instrument"]); code.sort()


data=ek.get_timeseries(code,start_date = '2017-01-01', end_date = '2021-02-18')

キャプチャ.PNG

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  • raksina.samasiri
    raksina.samasiri admin
    Answer ✓

    hello @tomoya.suzuki.lab

    There's a limit of the Eikon Data API, for more detail, please check Eikon Data API Usage and Limits Guideline. This case is about "Call-based Limits"

    Datapoints returned per request - A datapoint is a 'cell', or a unique field value for a unique instrument on a unique time stamp. Datapoint limits vary by the content set being retrieved (for example, timeseries limits are different from news headline limits), but all are throttled on a per request basis and are not aggregated across all applications. Here are Datapoint limit examples per Eikon Data API function type 
    get_timeseries: The current limit value (10-Oct-2019) is 3,000 data points (rows) for interday intervals and 50,000 data points for intraday intervals. This limit applies to the whole request, whatever the number of requested instrument.

    the length of the list "code" from your code is 225 RICs, and there're 13 rows of the date in the output (mean there's 225 * 13 = 2925 rows returned)

    qna-001.png


    To get the data of all the dates, you may loop the request and merge the output datasets together later. Each loop can either loop through the RIC list or date list.

    For example, to loop through the RIC list,

    • get the maximum number of RIC that can be called in a request 3000, divided by the number of dates you'd like to request the data
      • for 2017-01-01 and 2021-02-18, there are 1510 dates
      • 3000/1510 = 1 so only 1 RIC can be called per the request
    • below is an example code to get data and merge the output data frames of the first 3 RICs
    df = ek.get_timeseries(code[0],start_date = '2017-01-01', end_date = '2021-02-18')
    df = df.add_prefix(f'{code[0]}_')

    for _ in code[1:3]:
        df_temp = ek.get_timeseries(_,start_date = '2017-01-01', end_date = '2021-02-18')
        df_temp = df_temp.add_prefix(f'{_}_')
        df = df.merge(df_temp, how='outer', on='Date')
    display(df)

    Hope this could help

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