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
lanzani.juli avatar image
1 ●0 ●0 ●1

BID ASK Jumps

Please find below an example of pulling BID ASK Data:

fields = ["TR.CUSIP", "TR.CLOSEPRICE", "TR.BIDPRICE", "BID", "TR.ASKPRICE", "ASK", "NAVALUE"]
fund_data = rd.get_history(universe="VOE", fields=fields, interval="1D", start='2006-10-01', end='2006-11-01')

I am seeing huge jumps in the BID-ASK spread (I have observed this for other rics and time periods too).

What is the reason for the ASK price jumping from 53.1 to 201000.9844 back and forth while the bid price drops to 0.01. The closing price and NAV seem to reflect more reasonable prices.


Is there something wrong with my request or the way I am pulling the data?


#contentpython apidatacodebook
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.

1 Answer

· Write an Answer
Upvotes
nick.zincone avatar image
18.3k ●84 ●39 ●63

Hi @lanzani.juli

It's possible the jump may be occurring outside of trading hours. Every exchange performs after hours activity, such as a closing run and some may have inactive trading hours which may send out values that don't make sense. If you believe the odd jumping of values in the spread should not be happening, you can contact the helpdesk ("Get Help & Support" (F1)) within the desktop and they will bring in content expert to provide an explanation.

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.