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hi, is it possible to get tick data through API for FGBL (bund futures), FGBX (BUXL futures), FGBM (BOBL futures) and EURIBOR futures. ( Eikon premium user)
If so what are the limitations, is there an article available explaining the steps, use case.
Thanks.
Hello @asli.sahin01
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AHS
@asli.sahin01 Thanks for your question - so its best to use the Historical Pricing service on RDP - or you can simply use the get_history RD Library function. Data depth is 90 days of tick-level data.
import refinitiv.data as rd
rd.open_session()
df=rd.get_history(universe="FGBLc1", interval="tick", count=2000) #start="2023-09-01",end="2023-10-01", df
There is an example notebooks available in Codebook both at the access layer and also at the content layer:
Access__Get_History.ipynb
Content__Historical_Pricing
Content__Historical_Pricing_Requests_With_Events.ipynb
Content__Historical_Pricing_Parallel_Requests.ipynb
Content__Historical_Pricing__Erorr_Management.ipynb
These are also available in the RD Library examples folder on github.
I hope this can help.
Tthis method seems to be giving <NA> for most fields including crucial ones for tick data. With this example on FGBLc1, I only have <NA> for the columns TRDVOL_1 and ACVOL_UNS which should provide details about the size of the trade. TRDPRC_1 seems complete though. Do you know if I need to use another set of fields if I am interesting in Timestamp, Security, Price, Quantity for each 'tick'?
Thank you
Hi @asli.sahin01 ,
You can access the recent 3-month tick data of these futures using our Eikon API. The code below returns the tick data for the Continuation RIC for FGBLc1, i.e:
ek.get_timeseries('FGBLc1', interval = 'tick', start_date = '2023-08-01', end_date = '2023-08-02')
If you want the actual RICs not the continuation one, you would need to reconstruct the expired futures RIC and the request the pricing data. In this article I show how to do that:
Reconstructing RICs for expired futures contracts | Devportal (lseg.com)
If you need tick data going far back you can check our Refinitiv Tick History offering:
Refinitiv Tick History (RTH) - REST API | Devportal (lseg.com)
Hope this helps.
Best regards,
Haykaz
