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apple.tsai avatar image
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Want to get the history data of TAIEX Futures/Mini-TAIEX Futures

I want to get the history data of

  • TAIEX Futures
    TAIWAN FUTURES EXCHANGE-Products-Equity Index Futures-TAIEX Futures (taifex.com.tw)
  • Mini-TAIEX Futures
    TAIWAN FUTURES EXCHANGE-Products-Equity Index Futures-Mini-TAIEX Futures (taifex.com.tw)

    I know this should use eikon get_timeserise()
    And tried rics = ['TXc1']
    I have 3 questions,
    1. TX/MTX opens twice every trading day, 08:45-13:45 and 15:00-05:00(next day)
    How can I get the day trading history and night trading history?

    2. How can I see all the data items of TX/MTX via DIB in terminal?
    I am not sure which code I should use, TXc1 or 0#Tx: or TXv3..., something like that. Basically I need open/high/low/close and expired date, if have things like gamma, delta (in BSM) would be better.

    3. At each trading date, in fact we can trade the nearest 3 months TX/MTX, and up to 1 year's quarter TX/MTX, so there should have 6 different TX/MTX, how can I get all of those? I tried TXc1 to TXc6 but for some date there have no TXc6. Want to know what's should I do.

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wasin.w avatar image   wasin.w

Hello @apple.tsai

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,


AHS

wasin.w avatar image   wasin.w

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,


AHS


1 Answer

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Jirapongse avatar image
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@apple.tsai

Thank you for reaching out to us.

You can use 0#TX: and 0#MTX: to get all future RICs in TX and MTX, respectively.

For example, the code looks like this:

df, err = ek.get_data(["0#MTX:"],["DSPLY_NAME","EXPIR_DATE"])
df

The output is:

1695794430191.png

Then, you can use the returned list of RICs with the get_timeseries data to get historical data. For example, use the below code to get hourly data. The time in the output is in GMT. 

ek.get_timeseries(rics = df[2:]["Instrument"].to_list(),
                  interval="hour",
                  start_date="2023-09-21T00:00:00", 
                  end_date="2023-09-22T00:00:00")

The output is:

1695794922055.png

You can run the help(ek.get_timeseries) statement to get the list of available parameters.

However, it is better to contact the helpdesk support team directly via MyRefinitiv to verify this method.


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1695794922055.png (35.4 KiB)
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