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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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Jirapongse avatar image
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@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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