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!