Hello,
I am trying to access historical bid and ask size data for the instrument HKY.OL on a 1-minute interval using Refinitiv's Python Software Development Kit (SDK). However, I'm consistently receiving NA values for both bid and ask sizes.
Here's the code I've been working with:
import datetime
import refinitiv.data as rd
rd.open_session()
## Set the datetime
start_date = datetime.datetime(2023, 1, 1).strftime('%Y-%m-%d')
end_date = datetime.datetime(2023, 2, 1).strftime('%Y-%m-%d')
## Fetch data from Refinitv
df = rd.get_history(
universe= ['HKY.OL'],
fields=['ASK', 'ASKSIZE', 'BID', 'BIDSIZE'],
start = start_date,
end = end_date,
interval = '1min'
)
df
The fields ASK and BID return values as expected, but ASKSIZE and BIDSIZE are returning NA. I have verified that the instrument has data for the specified date range, but I am unsure if I'm using the correct field names or if there's an inherent limitation to the data's granularity. Here is my current output data:
Any guidance on how to correctly retrieve this data, or insights into potential issues, would be highly appreciated. Thank you!
