Discover Refinitiv
MyRefinitiv Refinitiv Perspectives Careers
Created with Sketch.
All APIs Questions & Answers  Register |  Login
Ask a question
  • Questions
  • Tags
  • Badges
  • Unanswered
Search:
  • Home /
  • Eikon Data APIs /

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

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

avatar image
REFINITIV
Question by Joris.Hoendervangers · Jul 05, 2017 at 10:56 AM · eikoneikon-data-apipythonworkspaceworkspace-data-apirefinitiv-dataplatform-eikontime-series

Eikon Scripting API: issues with timeseries

Hi all,

The Eikon API 'get_timeseries' function shows unexpected behavior. The 'start_date' is not respected in the following code:

market = [ '.BADI','FXSYSAL=NPX','ENOFBLQH8','ENOFBLYZ8','ENOFBLYZ9','F1BYF8','F1BYF9','F1PQV7','F1PYF8','F1PYF9','ATWQU7','ATWQZ7','ATWYZ8','ATWYZ9','CFI2Z7','CFI2H8','CFI2Z8','CFI2Z9','LCOc1','LCOc2','LCOc3','.OSEBX','.GDAXI','.SSEC','.AXJO','.FTSEE','EUR=X','NOK=X','GBP=X','/.DXY','/.BADI','SKMELYH8','SKMELYH9',]

df = eikon.get_timeseries(market,
                          fields=["Close"], start_date = "2016-03-01", 
                          interval="daily")
df

Furthermore, there is no error message when hitting the 3,000 output limit. So the output (of 7 instruments * 472 rows = 3302) results looks like this:

While the output of 5 instruments * 472 rows = 2460 looks like this:

Can we please get error message instead of populating the output with NaNs?

Thanks for your help!

timeserie-bad.png (13.2 KiB)
timeserie-good.jpg (18.0 KiB)

People who like this

0 Show 0
Comment
10 |1500 characters needed characters left characters exceeded
▼
  • Viewable by all users
  • Viewable by moderators
  • Viewable by moderators and the original poster
  • Advanced visibility
Viewable by all users

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

4 Replies

  • Sort: 
avatar image
REFINITIV
Best Answer
Answer by Alex Putkov.1 · Jul 05, 2017 at 12:01 PM

The problem as I see it is the shared 3K rows limit, which is the reason for both the timeseries returned not stretching back to 01-Mar-2016 when you send 33 RICs in a single request, and for some rows for some instruments being returned as NaN when 3K divided by the number of RICs does not result in an integer.

The 3K limit issue has already been raised here and reported to development and product management:
https://community.developers.refinitiv.com/questions/6355/bug-in-get-timeseries.html

Comment

People who like this

0 Show 4 · Share
10 |1500 characters needed characters left characters exceeded
▼
  • Viewable by all users
  • Viewable by moderators
  • Viewable by moderators and the original poster
  • Advanced visibility
Viewable by all users

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

avatar image
REFINITIV
Joris.Hoendervangers · Jul 06, 2017 at 03:42 AM 0
Share

Thanks Alex. That would mean that when the 3K limit issue has been fixed, the issue with NaNs wouldn't be applicable anymore, right?

avatar image
REFINITIV
Alex Putkov.1 ♦♦ Joris.Hoendervangers · Jul 06, 2017 at 11:12 AM 0
Share

Right. I'm not sure what the plan is for addressing this issue, but personally I would consider anything short of increasing the limit to at least 50K rows per RIC (not shared by all RICs in the request) to be unsatisfactory. Any solution that does not allow one to retrieve at least 50K rows for each RIC in the request would be deficient compared to capabilities available through legacy Eikon APIs.

avatar image
REFINITIV
Joris.Hoendervangers Alex Putkov.1 ♦♦ · Jul 06, 2017 at 12:38 PM 0
Share

So the second problem will persist when we keep a shared limit, but would just be moved... Any way we can produce warning messages from server side?

avatar image
REFINITIV
Answer by Zhenya Kovalyov · Jul 05, 2017 at 11:45 AM

@Joris.Hoendervangers

I guess that the date is ignored, because you are hitting the limit. Here is a handy function to check if your are okay:

from datetime import date
from numpy import busday_count

def number_of_points(instruments, start_date, end_date=0):
    days = busday_count(start_date, date.today() if end_date==0 else end_date)
    return len(instruments)*days

Based on your request, the number of points is 11583 instead of the 3000 limit, as the number of instruments on your market list is 33.

Comment

People who like this

0 Show 1 · Share
10 |1500 characters needed characters left characters exceeded
▼
  • Viewable by all users
  • Viewable by moderators
  • Viewable by moderators and the original poster
  • Advanced visibility
Viewable by all users

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

avatar image
REFINITIV
Joris.Hoendervangers · Jul 06, 2017 at 03:40 AM 0
Share

Thanks Zhenya. I understand it is because of the 3000 limit, but this makes it error prone, so we would like to see an error message instead.

avatar image
REFINITIV
Answer by Baoping.Lv2 · Nov 20, 2017 at 09:46 PM

@ Zhenya Kovalyov

@Joris.Hoendervangers

Could you help explain the means for 3000 points limitation.

Is it means that we can't get data more than 3000 at one time ?

If store data to excel, it's limit to get 3000 cell data at a time?

Comment

People who like this

0 Show 3 · Share
10 |1500 characters needed characters left characters exceeded
▼
  • Viewable by all users
  • Viewable by moderators
  • Viewable by moderators and the original poster
  • Advanced visibility
Viewable by all users

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

avatar image
REFINITIV
Alex Putkov.1 ♦♦ · Nov 21, 2017 at 10:12 AM 0
Share

The response to any single get_timeseries request for interday timeseries interval is limited to 3K rows. That is you will never get more than 3K rows of timeseries data when you execute get_timeseries method no matter what parameters you use. If get_timeseries uses a list of RICs, the 3K limit is shared. I.e. if you pass 10 RICs to get_timeseries method the total response is limited to 3K rows or 300 rows per RIC.

avatar image
REFINITIV
Alex Putkov.1 ♦♦ · Nov 21, 2017 at 10:17 AM 0
Share

This is a very unfortunate limit of the timeseries Web service behind Eikon Data API. RHistory function of Eikon Excel or Eikon .NET API use different Web service to retrieve timeseries, which is not subject to this limit. The most unfortunate part is that the limit is shared between RICs in the same request. Hopefully one day the limits will be improved. Until then you can execute get_timeseries requests for one RIC at a time, although in this case you'll be subject to another limit: the throttle allowing the requests to be sent with a max frequency of 3 requests per second.

avatar image
REFINITIV
Joris.Hoendervangers Alex Putkov.1 ♦♦ · Nov 22, 2017 at 03:34 AM 0
Share

Would it be possible to produce some error messages until this has been solved? I would say the confusion is more of an issue than the actual limit itself.

avatar image
REFINITIV
Answer by Alan Tam123 · Mar 26, 2018 at 02:43 AM

@Alex Putkov. Is this 3000 limit going to remain when the API is out of beta?

Comment

People who like this

0 Show 0 · Share
10 |1500 characters needed characters left characters exceeded
▼
  • Viewable by all users
  • Viewable by moderators
  • Viewable by moderators and the original poster
  • Advanced visibility
Viewable by all users

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

Watch this question

Add to watch list
Add to your watch list to receive emailed updates for this question. Too many emails? Change your settings >
12 People are following this question.

Related Questions

reshape dataframe with pd.pivot_table - missing data

How can I get bid and ask prices in a 1-min intervale from Python API for LCOc1 and LCOTc1?

Eikon Data API - retrieve basis of SM-ARGUPR-P1

TR.CombinedAlphaRegionRank timesries query not working

is it possible to get initial and maintenance margin for futures as a time series using python API

  • Copyright
  • Cookie Policy
  • Privacy Statement
  • Terms of Use
  • Anonymous
  • Sign in
  • Create
  • Ask a question
  • Spaces
  • Alpha
  • App Studio
  • Block Chain
  • Bot Platform
  • Connected Risk APIs
  • DSS
  • Data Fusion
  • Data Model Discovery
  • Datastream
  • Eikon COM
  • Eikon Data APIs
  • Electronic Trading
    • Generic FIX
    • Local Bank Node API
    • Trading API
  • Elektron
    • EMA
    • ETA
    • WebSocket API
  • FX Venues
    • FX Trading – RFQ Maker
  • Intelligent Tagging
  • Legal One
  • Messenger Bot
  • Messenger Side by Side
  • ONESOURCE
    • Indirect Tax
  • Open Calais
  • Open PermID
    • Entity Search
  • Org ID
  • PAM
    • PAM - Logging
  • ProView
  • ProView Internal
  • Product Insight
  • Project Tracking
  • RDMS
  • Refinitiv Data Platform
    • Refinitiv Data Platform Libraries
  • Rose's Space
  • Screening
    • Qual-ID API
    • Screening Deployed
    • Screening Online
    • World-Check One
    • World-Check One Zero Footprint
  • Side by Side Integration API
  • TR Knowledge Graph
  • TREP APIs
    • CAT
    • DACS Station
    • Open DACS
    • RFA
    • UPA
  • TREP Infrastructure
  • TRKD
  • TRTH
  • Thomson One Smart
  • Transactions
    • REDI API
  • Velocity Analytics
  • Wealth Management Web Services
  • Workspace SDK
    • Element Framework
    • Grid
  • World-Check Data File
  • Yield Book Analytics
  • 中文论坛
  • Explore
  • Tags
  • Questions
  • Badges