Python Eikon API get_timeseries() Time Interval

Hello,

I am using the get_timeseries() method to retrieve rates by the minute, though I am noticing that not all the hours of the day are included and that not all minutes in the hour are there.

For example, if I call:

get_timeseries('CNYUSD=R', start_date='2017-10-27T00:00:00',end_date='2017-10-27T23:00:00',interval='minute')

I only get the 1st - 15th hour of the day. For hour 4, I am only seeing 15 values (when I would expect 60, one for each minute). Is it possible with the Python Eikon API to get values for every minute, or ideally every second, of the day?

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Accepted answers

Alex Putkov.1

What you see is expected. The backend only summarizes price history data into a bar for a standard interval such as one minute if there's a price update within that interval. For less liquid instruments such as this exchange rate the only way you can create the timeseries you're looking for is by constructing it in your code from the timeseries you retrieve from Eikon (by repeating the price from previous interval for every interval without a price).

All comments

Alex Putkov.1

Mohsin-Fw

Okay, thanks Alex. So, just to be clear-- if there is data returned for 14:47:00 and then 15:01:00, the rates in between will be the price for 14:47:00, right?

If there was no data for after the 15th hour of every day, there was no price movement at all until the next day...?

Lastly, just wanted to confirm that these timestamps are UTC.

Alex Putkov.1

The answer is yes on all points. If there is data returned for 14:47:00 and then 15:01:00, the best indicator of the rates in between is the price update for 14:47:00. If there was no data for after the 15th hour of every day, there were no price updates at all until the next day. And yes, the timestamps are in UTC. Please also note that these exchange rates are indicative. They are not firm quotes and they do not reflect any actual trades happening in the FX market.

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