Hi,
I am using your get_history() method from the "refinitiv.data" library, e.g.:
import refinitiv.data as rd rd.open_session() df = rd.get_history( universe= "AAPL.OQ", start= dt.date.today() - dt.timedelta(days=300), end= dt.date.today(), interval= "5min", parameters= {"Fill": "None"} ) rd.close_session() print(df)
The example above will output something like:
AAPL.OQTimestamp…ASK_HIGH_1
ASK_LOW_1
OPEN_ASK
ASK
…3/27/2023 8:45…160159.8159.8160…3/27/2023 8:50…160159.78159.89160……………………
It is not clear to me to which point in time the following fields refer to exactly:
- MID_PRICE
- BID
- ASK
- TRDPRC_1
e.g. "ASK":
Let's look at "3/27/2023 8:45", it has the value "160". If I look at the description in the 'Data Item Browser' (DIB), it tells me that "ASK" refers to the "latest ask price". If you take this literally it would translate to the ask price that could have been observed on the instrument at exactly 8:45. If that is true, I would expect the OPEN_ASK for the next timestamp to be 160 (OPEN_ASK[t+1] == ASK[t]). In the returned data OPEN_ASK is 159.89 (please note: this is real data).
Could you please elaborate what the 4 mentioned fields show me exactly.
Your help is highly appreciated!
Best and thanks in advance