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Eikon Side by Side Interoperability API and EIkon API Intraday FX Rates Enquiry

Dear Refinitiv API team,

I have a Refinitiv Workspace license. I am working on a project with IT where I need to extract:

Main Global Majors FX Rates (e.g. GBP / EUR, GBP / USD etc.) Bid / Ask / Close prices for 10+ currencies at specific times of day: For example at:

  • 9am, 3pm and 6pm (Note: I understand the FX end of day close price is settled at 4pm.)

IT have requested this data call would be run once a day or at the fixed times of day (stated above). The data needs to be stored in SQL Server Integration Services SSIS (SSIS). Environment is Windows.

IT preference for ongoing maintenance is to use the Eikon Side by Side Interoperability API.

  1. Would it be best to use an intraday API data call to store bid / ask / close prices at these fixed times?
  2. The FX rates bid / ask / close data calls may also need to be checked dynamically live. Therefore would it be best to pull in live bid / ask FX rates in memory and store those data points by writing a script or is there an alternative better solution? Note I have live FX rates on my license.

Therefore:

  1. I would like to know can these intraday data calls be done directly using the Eikon Side by Side Interoperability API instead using GET / POST requests (IT preference for ongoing maintenance) and have an example guidance / code to run so It can test.
  2. I would like to know the code in Python main Eikon API to extract FX rates at specific intraday time intervals (as stated above).
  3. I would like to know the code in Python main Eikon API to extract FX rates live and store these from memory to SQL.
  4. How to extract all major codes automatically in Python and Eikon Side by Side Interoperability API code for all countries instead of manually stating?
  5. What are limits on intraday historical data?

Please kindly advise.

Thanks

eikon-data-api#technology
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@tomasz.mlynowski

Thanks for reaching out to us.

As I know, you can't retrieve data with Eikon Side by Side Interoperability API. The API is used to:

  • Launch an Eikon app
  • Create a communication channel with Eikon apps to send and receive context
  • Send and receive underlying Metadata: Pass portfolios and Trade Tickets as well as instrument identifiers

To retrieve data, you need to use Eikon Data API or Refintiv Data Library for Python.

This is an output from Refintiv Data Libary for Python when requesting intraday data.

1669781418307.png

This is an output from Eikon Data API when requesting intraday data.

1669781449651.png

The Intraday time series database only stores up to 1 year of history.


1669781418307.png (55.3 KiB)
1669781449651.png (33.1 KiB)
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Thanks you for your kind response. Good to know the correct API to use.

1. Could you advise how to extract intraday data at a specific time of day only using either the Eikon or Refinitiv Data Library?

2. Can we extract FX rates live and store these from memory to SQL ideally using SSIS web requests?

3. Could you kindly confirm that we can connect via a web request? Ideally SSIS but PowerShell would work as well.

4. How to extract all major FX codes automatically in Python and Eikon Side by Side Interoperability API code for all countries instead of manually stating? If we can't do, we can manually set FX codes in a Python list.

Thanks

Tomasz

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@tomasz.mlynowski

You can specify the date and time in the date parameters, as shown below.

rd.get_history(universe="JPY=", interval="minute", start="2022-11-01T03:50:00", end="2022-11-01T04:00:00")

1670382461419.png

I don't know about SSIS web requests. It should be fine if the SSIS web requests support Python, dot net, typescript, or REST API.

If it supports Python, dot net, or typescript, you can use our provided libraries.

If it supports REST API, you can use Refinitiv Data Platform APIs.

Typically, to extract data, you need to specify instrument codes, such as RICs. Yes, you need to specify FX codes in a list.


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