Hi there.
The rd.get_history method does not appear to be returning prices for granular intervals.
this code:
testobj = rd.get_history(universe=CLF3^2,
fields=['TR.SETTLEMENTPRICE'],
interval="daily",
start="2022-11-12",
end="2022-11-25"
)
print(testobj.shape)
testobj
(9, 1)
CLF3^2Settlement PriceDate2022-11-1485.162022-11-1586.252022-11-1685.0
yet more granular intervals return erroneous data, they simply return daily data
testobj = rd.get_history(universe=CLF3^2,
fields=['TR.SETTLEMENTPRICE'],
interval="1min",
start="2022-11-12",
end="2022-11-25"
)
print(testobj.shape)
testobj
(9, 1)
CLF3^2Settlement PriceDate2022-11-1485.162022-11-1586.252022-11-1685.0
my goal is to return the settlement price (and potentially volume) for 1 minute or 5 minute bars for several commodity futures (expired futures).
Also, can you pls also advise where I can find relevant fields? The data browser does not seem to contain the relevant fields.
