Strange output of get_timeseries on FX Spot data

I have this bit of code..

With this I see a very sparse dataset (see attached pic). Some obeservations....

1. FX is almost a 24x6 - so I was hoping to get more dense dataset

2. For JPY- I don't get any data till 23:00

3. For GBP= I dont get data till 22:00 (London market starts at 9:00 GMT)

I believe my Eikon settings are set to UTC.

Any idea where I might be going wrong?

1666779370526.png


tick_data = ek.get_timeseries(
['EUR=', 'GBP=', 'AUD=', 'NZD=', 'CAD=', 'JPY='],
fields=['BID', 'ASK'],
start_date='2022-08-04T00:00:00',
end_date='2022-08-04T23:59:59',
interval='taq'
)
tick_data = tick_data.resample('1s').mean().dropna(how='all')

Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @sumit

    Sorry about the issue that you are facing.

    The request may breach the limitations of Eikon Data API.

    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.

    I requested for one RIC and I can get the data properly.

    1666866362856.png

    I hope that this information is of help

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