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I am using the Refinitiv data library for Python.
I was looking to calculate the bid-ask spread on 5-minute intervals for a month for an ETF.
Currently, I get the history
x = rd.get_history(universe = x_ticker, interval = '5min', start = MTH_START, end = MTH_END, fields = ['BID','ASK'])
and calculate the min, max and mean spread locally. Can I do the calculation on LSEG and just get the min, max and mean spreads?
Thank you for reaching out to us.
The library retrieves the intraday summary data of the real-time fields (no TR. prefix) from the historical pricing endpoint on the Data Platform.
As far as I know, the historical pricing endpoint on the Data Platform doesn't support server-side calculations.
