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yaokoffi.kouassi avatar image
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How to exclude the 'weird' prices in a time series?

Hello team.

Can someone help with this email from one of our customers?

Here is the code he is currently using:

df = rd.get_history(universe=Universe, fields=["BID", "ASK"], interval=Interval, start=Startdate, end=Enddate)

Here is the results. What is highlighted is the 'weird' results

1699618299443.png


The original conversation is this one:


1699618368314.png


Thanks

python#technology#contentpython apicodebook
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1699618368314.png (57.7 KiB)
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wasin.w avatar image   wasin.w

Hello @yaokoffi.kouassi

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

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Jirapongse avatar image
79.2k ●251 ●52 ●74

@yaokoffi.kouassi

Thank you for reaching out to us.

You can set the sessions to normal in the RD content layer, as shown belwo. 

response = historical_pricing.summaries.Definition(
    universe = ["GTO"],
    start="2023-05-15T19:50:00.000000000Z", 
    end="2023-05-16T14:00:00.000000000Z",
    fields=["BID","ASK"],
    interval=Intervals.MINUTE,
    sessions = [MarketSession.NORMAL]
).get_data()
df = response.data.df
df

You can also refer to the example on GitHub.

However, if the client still gets stange prices, please contact the helpdesk teamp directly via MyRefinitiv to verify the content.

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wayne02 avatar image wayne02
Thanks very much for that.

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