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Retrieve Time and Sales Data Information

Hello!

To explain the background of my questions: I am working on a project where I want to identify individual trades above and below a certain value threshold. For example, I want to get the volume of AAPL.O for trades above $10,000.

I use the Refinitiv Python API, specifically, the refinitiv-data library.

Question 1: I couldn't find any more elegant way other than retrieving the time and sales data and then analyzing the individual trades. Is it true that there is no such thing as a 'summary report' which allows getting the volume for trades above/below certain values?

Question 2: I am using the following Python code to obtain the time and sales data. Is there any way to use a Ticker instead of a RIC? Otherwise, I would only get the trades of the respective exchange, not the total trading?

Question 3: When running this code, it takes quite long to obtain the data. Is there any faster approach?

data = rd.get_history(universe = RIC, fields = ['TRDPRC_1','TRDVOL_1'],interval='tas',start=start_date,end=end_date)


Thanks everyone!

#contentrefinitiv-data-platform
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Jirapongse avatar image
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@LyRefinitiv

Thank you for reaching out to us.

1. As far as I know, the endpoint doesn't support filtering by prices.

2. To retrieve intraday real-time fields, you need to use RICs. However, the API provides an endpoint to convert tickers to RICs. Please, check the example on GitHub.

3. You can try to use the historical pricing in the content layer. The examples are on GitHub. Yon can use the parallel requests.


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LyRefinitiv avatar image LyRefinitiv
Thank you!

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