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Different Volume of historic intraday bars for CFI2Z5
Hello, I've found that the volume for CFI2Z5 and other futures is often different when requesting the historic data subsequently in a short space of time. Is this expected, or could there be another way to request the data so the historic volume remains constant. I've used the HistoricalPricing-Summaries project in the…
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Average volume over the past 5 days as a single value-'CLc1'
Is there a code to pull a single average volume over the past 5 days rather the timeseries in API for the code- As per checking, there is none and request you to check and advise if the below can be added- As the client needs one single volume to be retrieved instead of timeseries 5 days volume. rd.get_history(…
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Unable to Retrieve Volume Data
Using lseg.data python API, i am able to retrieve OHLC prices for this symbol TFMBMc1 but unable to retrieve any Volume data? There should be volume data based on the chart My code below: get ohlc dataohlc_data = ld.get_history( universe=["NGLNMc1"], # Replace with your desired symbol # universe=["TFMBMc1", "TFMBSc1",…
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Is it possible to obtain the aggregate average trading volume across different exchanges/share cl...
...asses? Hi, say TUYA INC has three different instruments trading, 2391.HK, TUYA.K, & TUYA.N the average trading volume (30 days) on DIB are: 8,533, 722,378, and 125,254 respectively, I was wondering if there's any way to obtain the aggregate trading volume - 856,165 of an security using Refinitiv.Data? Thanks
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getting 1-minute trading volume in RDP
Hello, I am using the Refinitiv data package and I am trying to get historical 1minute volume for futures (eg ticker ESc1) using rd.get_history. What is the right fieldname for 1minute volume? I tried VOLUME_1 and TRDVOL_1 but they dont seem to work.…
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What are the correct filed names for the Volume and Last Trade to get get_timeseries in Python?
I am using this instruction in Python to get tas data = ek.get_timeseries( "EMAR.DU", fields = ['LastTrade', "Volume", 'VWAP', 'Bid', 'BidSize', 'Ask', 'AskSize'], start_date='2024-02-28T00:00:00', end_date='2024-03-04T23:59:59', interval = 'tas', ) It is working for all the fields except 'LastTrade' abd "Volume". What are…
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Retrieving stock's volume. Mismatch between excel and python api
Hi I am looking for Microsoft's volume. I try =@TR("MSFT.O";"AVG(TR.Volume);TR.Volume;TR.TURNOVER;TR.ACCUMULATEDVOLUME";"SDate=0D EDate=0D-29D";B9) and the output is 25281455,920829953780019275720829953 It seems good Unfortunatly, i try on python and i obtain different value : df=ek.get_data(listRIC,…
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Average Daily Trading Volume (ADTV) for Stock in Refinitiv Excel
Hello everyone, I'm currently using the Refinitiv Excel add-in to analyze financial data, and I've hit a bit of a roadblock. I'm looking to find the Average Daily Trading Volume (ADTV) for a list of securities equities, but within the formula options provided by Refinitiv, I can only seem to locate 'Trading Volume' and…
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How to calculate the actual volume of the first tick of a new day
We let the RDP example code run overnight. It looks like the volume(CF_VOLUME) of the first tick (please see an example tick below) received on the second day includes the pre-market volume. I'd like to subtract the pre-market volume to get the actual volume of the first tick. I saw there is a "BLKVOLUM" field in the…
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How to Access Average Daily Volume and Minimum Order Size Data via the Historic Pricing API
I am trying to access Average Daily Volume and Minimum Order Size data via the Historical Interday API call. I have tried using the fields VMA_30D and MIN_ORD_SZ, but I get back the message "The universe does not support the following fields: [VMA_30D, MIN_ORD_SZ]." The exact url with field parameters I am using for the…
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Real time optimized - How to get volume and market board information(depth) in websocket ?
I can connect and get real time data by using below, but I can not find how to get volume and market board information(depth) by using websocket API. I am using this python file [market_price_rdpgw_service_discovery.py]. As for FX(ric = 'JPY='), I can not see the volume at all. I am glad if you tell me how to get these…
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Retrieving historic options volume across all expiries and strikes on a contract in python
Hi, I am looking for a method to find all of the options volume that was traded yesterday (across all strikes for all expiries) on the children of the ric 0#CFI2+. As in to answer the question 'how many EUA options traded yesterday in total?'. For futures I have used this method: all_rics = ['CFI2' + 'c{}'.format(x) for x…
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How can I get the monthly trading volume for FTSE All share index constituents in excel?
How can I get the monthly trading volume for FTSE All share index constituents in excel for every month in a year. I'm trying to calculate share turnover which is defined as trading volume/average shares outstanding.
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Received negative volume on June 24th from .AD.N ric
On June 24th, the volumes on NY were very high, with Advancing Volumes exceeding 2^31-1. ric = “.AD.N” fields = ['ISSUES_ADV','ISSUES_DEC','ISSUES_UNC','TOT_ISSUES','NEW_HIGHS','VOLUME_ADV','VOLUME_DEC','VOLUME_UNC','TOT_VOLUME','NEW_LOWS'] df,err = ek.get_data(ric,fields) Returned in df:…
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I have a question regarding the volume values. What is the unit of the values? Is it the number o...
I have a question regarding the volume values. What is the unit of the values? Is it the number of transactions per day or dollars? Thanks a lot
