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rd.get_history does not return values for granular intervals

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 PriceDate
2022-11-1485.162022-11-1586.252022-11-1685.0


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 PriceDate
2022-11-1485.162022-11-1586.252022-11-1685.0



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.

python#contentcommoditiesprice-history
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Hi @np1

To address the relevant fields, if you leave the 'fields' specification out of the request, you will retrieve all available fields for the specific instrument. For example:

# Defaults to 'daily'
rd.get_history("CLF3^2", start="2022-11-12", end="2022-11-25")

Regarding intraday data for the above instrument, I did not see any.

1718051505286.png

It's quite possible there is no intraday data available for this instrument. Given this is a content issue, I would suggest you open a ticket within the Helpdesk and they can bring in a content specialist to confirm.


1718051505286.png (63.0 KiB)
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