How do we use Eikon API or RDP to pull the ICE TTF forward curve for any given settlement date pl...

candice.ting
candice.ting LSEG
in Refinitiv Data Platform Libraries

...ease?

For example, it seemed like RDP is the easier option as it works if we use rd.get_history('0#.FTSE'), but if it is rd.get_history('0#TFMBM:') then I get error "No data to return"...


Asking on behalf of client, thanks.

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @candice.ting

    It looks like the rd.get_history method is unable to expand this chain RIC (0#TFMBM:). We need to find a way to expand this RIC. If the client uses a desktop session, the client can use ek.get_data method to expand this chain RIC.

    import refinitive.data.icon as ek
     ek.set_app_key('<app key>')
    df, err = ek.get_data(['0#TFMBM:'], ['DSPLY_NAME']);

    The output is:

    1657162123516.png

    Then, I removed '/' from RICs and sent the list to the rd.get_history method.

    instrument_list = df["Instrument"]
    instrument_list = map( lambda x: x if x[0]!='/' else x[1:], instrument_list)
    instrument_list = list(instrument_list)
    rd.get_history(universe=instrument_list)

    The output is:

    1657162311748.png


Answers

  • candice.ting
    candice.ting LSEG
    https://community.developers.refinitiv.com/discussion/comment/95402#Comment_95402

    Hi Jirapongse,

    Thank you for your answer. Can you also help incorporate the function to include start/end date parameters so user can specify the date range himself?


    Thank you again,

    Candice

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @candice.ting

    The client can run help(rd.get_history) to see the available parameters of this method.

    Parameters
        ----------
            universe: str | list
                instruments to request.
            fields: str | list, optional
                fields to request.
            interval: str, optional
                The consolidation interval. Supported intervals are:
                tick, tas, taq, minute, 1min, 5min, 10min, 30min, 60min, hourly, 1h, daily,
                1d, 1D, 7D, 7d, weekly, 1W, monthly, 1M, quarterly, 3M, 6M, yearly, 1Y
            start: str or date or datetime or timedelta, optional
                The start date and timestamp of the query in ISO8601 with UTC only
            end: str or date or datetime or timedelta, optional
                The end date and timestamp of the query in ISO8601 with UTC only
            adjustments : str, optional
                The adjustment
            count : int, optional
                The maximum number of data returned. Values range: 1 - 10000
            use_field_names_in_headers : bool, optional
                Return field name in headers instead of title

        Returns
        -------
        pandas.DataFrame

         Examples
        --------
        >>> get_history(universe="GOOG.O")
        >>> get_history(universe="GOOG.O", fields="tr.Revenue", interval="1Y")
        >>> get_history(
        ...     universe="GOOG.O",
        ...     fields=["BID", "ASK", "tr.Revenue"],
        ...     interval="1Y",
        ...     start="2015-01-01",
        ...     end="2020-10-01",
        ... )

    To specify the date range, the client can use the start and end parameters. For example:

    rd.get_history(universe=instrument_list, start="2022-06-01", end="2022-06-30")

    The output is:

    1657247654974.png

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