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renee.yao avatar image
24 ●8 ●7 ●11

tick data 'nan' values

Hi fellow developers,

ek.get_timeseries('AA',interval='tick',start_date='2017-10-26T13:30:00',end_date='2017-10-26T13:35:00')

gives a list of tick data, but there are some nan's for VALUE with regular VOLUME. I compared it with the output of

ek.get_timeseries('AA',interval='minute',start_date='2017-10-26T13:30:00',end_date='2017-10-26T13:35:00')

the volume are the same if counting the nan volumes. I wonder if the nan's are intended or something else. This is really getting in the way of computing VWAP since if I exclude those nan VOLUME then the total 5 min VOLUME will not match the one from minute data.

eikoneikon-data-apipythonrefinitiv-dataplatform-eikonworkspaceworkspace-data-apihistoricalvwap
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Nipat Kunvutipongsak avatar image   Nipat Kunvutipongsak

Hello @renee.yao,

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AHS

pimchaya.wongrukun01 avatar image   pimchaya.wongrukun01

Hello @renee.yao,

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?

If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.

Thanks,

AHS

Nipat Kunvutipongsak avatar image   Nipat Kunvutipongsak

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,

AHS

1 Answer

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Alex Putkov.1 avatar image
39.4k ●77 ●11 ●27

I do not see what you claim with regard to regular volume. As far as I can see all trades with NaN for price have odd lot volume. Odd lot trades get recorded in the tick interval without price. The volume of these trades counts toward aggregated volume in higher intervals, such as 1 minute. But these trades are excluded from VWAP calculation. As far as I know this is a market standard methodology, however I’m not exactly an expert here and cannot tell you why such rules were put in place. If you need an explanation, I suggest you raise the question to Thomson Reuters Helpdesk. If you need to illustrate the issue to the Helpdesk, it's easily reproducible using =RHistory function in Eikon Excel.

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