Pulling historical forward curves

Corey.Stewart
Corey.Stewart LSEG
in Eikon Data APIs

So, it's easy to pull forward curves via get_data. For example:

import eikon as ek
ek.set_app_key(<YOUR APP KEY>)

rics = ['0#CL:']
fields = ['CF_NAME','EXPIR_DATE','CF_CLOSE']

df, err = ek.get_data(rics,fields)

print(df)

   Instrument           CF_NAME  EXPIR_DATE  CF_CLOSE
0         CLU2  LIGHT CRUDE SEP2  2022-08-22     91.93
1         CLV2  LIGHT CRUDE OCT2  2022-09-20     91.20
2         CLX2  LIGHT CRUDE NOV2  2022-10-20     90.47
3         CLZ2  LIGHT CRUDE DEC2  2022-11-21     89.68
4         CLF3  LIGHT CRUDE JAN3  2022-12-20     88.90
..         ...               ...         ...       ...
121      CLV32          CL OCT32  2032-09-21     66.10
122      CLX32          CL NOV32  2032-10-20     66.21
123      CLZ32          CL DEC32  2032-11-19     66.22
124      CLF33          CL JAN33  2032-12-20     66.34
125      CLG33          CL FEB33  2033-01-20     66.51

[126 rows x 4 columns]

But, I want to be able to do the same for historical curves. I.e., the same curve from a month ago. Meaning, I run the script and the pull would also show the August 2022 contract (if the script was executed prior to its the Aug expiration in July). I want to also be able to easily pull three months ago, etc. It can be separate scripts...doesn't all have to be in one script.

Is there an easy way to do this?

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Best Answer

  • aramyan.h
    aramyan.h admin
    Answer ✓

    Hi @Corey.Stewart ,


    Thank you for your question. Unfortunately, you can't mix fundamental and real data with a chain instrument. However, you can extract instruments from the chain and request historical prices for the individual instrument by introducing a parameter argument as shown below:

    rics = df['Instrument'].to_list()
    fields = ['TR.CLOSEPRICE']
    parameters = {'Frq':'D','SDate': '2022-07-12','EDate': '2022-08-12'}

    prices, err = ek.get_data(rics,fields, parameters)

    prices


    Please let me know should you have any further questions.


    Best regards,

    Haykaz

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