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Retrieve US10YT BidYld and AskYld at 16-Jan-2023 from API

Retrieve US10YT BidYld and AskYld at 16-Jan-2023 from API

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Hi Team, we saw US10YT 16-Jan-2023 show bid and ask yield in terminal, but through API, 16-Jan-2023 yield does not show. May I know how to retrieve 16-Jan-2023 US 10 Year Treasury from API? Thanks.

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@apple.tsai Thanks for your question - please could you post the API call you are making - also please be aware that Jan 16th 2023 was Martin Luther King day in the US and some markets were shut.

You can get the Refinitiv Treasury data snapshot - ie current values using a get_data api call:

import refinitiv.data as rd
rd.open_session()
rd.get_data(
    universe=['US10YT=RR'],
    fields=['BID', 'ASK','RT_YIELD_1','SEC_YLD_1','VALUE_TS1','VALUE_DT1']
)

1674041607158.png

to check the daily (or hourly etc) history of this you can use the get_history api call:

rd.get_history(universe="US10YT=RR", 
               interval="1D")

1674042010790.png

From this daily view you can see that there was no entry for the 16th Jan. What you saw on the quote screen were probably some values that were persisted ie last value for bid yield but the time and date were probably the previous days values.

I hope this can help


1674041607158.png (30.2 KiB)
1674042010790.png (483.3 KiB)
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Hi Jason,

Understood.

We would like to know which exchange calendar is applied by quote representing in Refinitiv.

We tried to verfiy dates with NYSE calendar, but seems can't match with NYSE exchange calendar.

After 2015,
1) following 2 days shows price in Refinitiv but NYSE market close.

2015-04-03, 2021-04-02

2) total 16 market open days without price data present

2015-10-12, 2015-11-11, 2016-10-10, 2016-11-11, 2017-10-09, 2018-10-08, 2018-11-12, 2019-10-14, 2019-11-11, 2020-10-12, 2020-11-11, 2021-10-11, 2021-11-11, 2022-10-10, 2022-11-11, 2023-02-01


Could you please indicate which exchange calendar we should follow ?

Thanks.


Regards,

Apple Tsai

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