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s1815675 avatar image
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Python API to get tastaq data

Hi,

In Refinitiv Eikon there is a page called TAS. I want to download historical tastaq data in python. I see there is an option in Excel, however, it only allows you to download data for one stock at the time.


I want historical data (for as long back Eikon API allows me to). However, I only want the first seconds after the excange opens, and the few seconds before the exchange closes.

Is there some way that I can do this in python with Eikon API?

Fields:

  • TasTaq:TRDPRC_1
  • TasTaq:TRDVOL_1
  • TasTaq:BID
  • TasTaq:BIDSIZE
  • TasTaq:ASK
  • TasTaq:ASKSIZE
eikon-data-api#technologyrdp-apipython api
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raksina.samasiri avatar image
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Hi @s1815675 ,

You can use RD Library to fetch historical data of these fields. Here's the Quick start guide of RD Library for Python

For example, the code below can be used

import refinitiv.data as rd
rd.open_session()

rd.get_history(universe="LSEG.L", fields=['TRDPRC_1','TRDVOL_1','BID','BIDSIZE','ASK','ASKSIZE']
               , interval="1D"
               , start = '2022-10-01', end = '2023-01-28')

1684211086953.png

You can put the parameters to get the data on intervel, duration you would like to by adjusting the parameters: start, end, and interval as below

Supported intervals are:['tick', 'tas', 'taq', 'minute', '1min', '5min', '10min', '30min', '60min', 'hourly', '1h', 'daily', '1d', '1D', '7D', '7d', 'weekly', '1W', 'monthly', '1M', 'quarterly', '3M', '6M', 'yearly', '12M', '1Y']

Hope this help and please let me know in case you have any further questions.


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