Upgrade from Eikon -> Workspace. Learn about programming differences.

For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted

What are the correct filed names for the Volume and Last Trade to get get_timeseries in Python?

I am using this instruction in Python to get tas data = ek.get_timeseries( "EMAR.DU", fields = ['LastTrade', "Volume", 'VWAP', 'Bid', 'BidSize', 'Ask', 'AskSize'], start_date='2024-02-28T00:00:00', end_date='2024-03-04T23:59:59', interval = 'tas', ) It is working for all the fields except 'LastTrade' abd "Volume". What are the correct filed names for the Volume and Last Trade? ‘Last’ and ‘Volume’ are still not working for get_timeseries.

eikon-data-api#productpython apitime-seriesvolumeelastic-search
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Hi,

Thank you for your participation in the forum.

Is the reply below satisfactory in answering your question?

If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question.

Otherwise please post again offering further insight into your question.

Thanks,

AHS

1 Answer

· Write an Answer
Upvote
Accepted
10.2k 18 6 9

@jeane.samson.refinitiv So the older Eikon Data API get_timeseries method uses an older service with a reduced datamodel :

ek.get_timeseries(['EMAR.DU'],
                  start_date='2024-02-28T00:00:00', 
                  end_date='2024-03-04T23:59:59', 
                  interval = 'tick'
                 )

1709562135313.png

Our newer Refinitiv Data Libraries provide a get_history function which uses a new service with an improved data model :

!pip install refinitiv-data
import refinitiv.data as rd
rd.open_session()
rd.get_history(universe="EMAR.DU", 
               interval="tick",
               start = '2024-02-28T00:00:00', 
               end = '2024-03-04T23:59:59')

1709562395446.png

Here you can see a much expanded return - from here you can then close things down by selecting the fields you require. Here TRDPRC_1 is the traded price field, and the quote fields provide BID,BIDSIZE,ASK,ASKSIZE and an updated VWAP is reported with each trade. I hope this can help.

I hope this can help.


1709562135313.png (104.6 KiB)
1709562395446.png (298.5 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.