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How to get only trading days in Datastream data?

Hi,


When I try to get data for the instrument <DOLc1> it is returning data for non-trading days.

I tried using Python Datastream module:

ds.get_data(tickers='<DOLc1>', fields=['PS'], freq='D', start='2021-01-01")

This will return, e.g., data for 2021-01-25, which was a holiday in Sao Paulo and the exchange was closed. My data in the end has lots of duplicated values due to this.

How can I ask Datastream the data without the non-trading days?

python#contentdatastream-apicalendarmarket-holidays
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@lmotta

Thank you for reaching out to us.

Please try the following code.

df1 = ds.get_data(tickers='<DOLc1>', fields=['PS#S'], freq='D', start='2021-01-01')

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@Jirapongse

Thanks! It worked. I tested for a small and large sample.

As a final question: what does #S mean exactly?

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@lmotta

The #S qualifier unpads values where the underlying data point is stored as a null value - so displays N/A for null values rather than pad the last real value. This padding may occur where the closing price is not published by an exchange for a stock due to:

  • The stock does not trade
  • The stock is suspended
  • An exchange holiday

then the closing price is stored as a null. P#S will display this value as N/A.

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Thank you, this was very useful. Is there a documentation for expressions such as #S? I tried to find this in the Datastream function catalogue but #S is not considered a function there.

@lmotta

You can find it in the Datastream Navigator with the Datatype Search.

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