Historical Bid/Ask price and size at 10 levels

gk21271
gk21271 Newcomer
in Refinitiv Data Platform

Hi,


I am using refinitiv data's get_history() function to retrieve historical bids/asks (1 minute frequency) along with sizes/depth. I only managed to get best bid/asks but not at level 2, 3, 4 and so on (I need upto 10 levels ideally).


Please see the code snippet below. Can someone help as to what should I add more to get additional details.


1659942467256.png


Can someone also explain that why certain fields under data item browser like A_LEVEL_1, B_LEVEL_1 do not work? I tried but they do not produce anything (comes up with NaN values).


Look forward to hearing on it.


Thanks,

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @gk21271

    The get_history function retrieves historical data from the historical-pricing Refinitiv Data Platform endpoint. The valid fields of minute interval data for ETH= are:

    "headers": [
          {
            "name": "DATE_TIME",
            "type": "string"
          },
          {
            "name": "BID_HIGH_1",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "BID_LOW_1",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "OPEN_BID",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "BID",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "BID_NUMMOV",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "ASK_HIGH_1",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "ASK_LOW_1",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "OPEN_ASK",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "ASK",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "ASK_NUMMOV",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "MID_HIGH",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "MID_LOW",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "MID_OPEN",
            "type": "number",
            "decimalChar": "."
          },
          {
            "name": "MID_PRICE",
            "type": "number",
            "decimalChar": "."
          }
        ],

    It doesn't support the A_LEVEL_1, B_LEVEL_1 fields so it can't provide Historical Bid/Ask price and size at 10 levels.

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