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aquilesjlp300 avatar image
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Python: Can I call a TR Formula inside the function get_timeseries?

Hello guys,

I'm trying to get TR.TotalReturn using Eikon Scripting API for Python, but I'd like to minimize the amount of calls I do to the API. So far, using a list of the identifiers helps minimizing the amount of calls. On the other hand, I want daily returns for a given range of dates. And I believe the only function can provide that kind of thing is get_timeseries.

Is it possible to use TR.TotalReturn combined with get_timeseries to acquire returns (or any other TR formula) into a timeseries? I readed the manual, and it doesn't seem to be a way https://developers.thomsonreuters.com/tr-eikon-scripting-apis/python-thin-library-pyeikon#get_timeseries

Do you know if there's any chance of doing it this way?

Thanks for your time!

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Jirapongse avatar image
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I am afraid not.

get_timeseries support the following fields: 'TIMESTAMP', 'VALUE', 'VOLUME', 'HIGH', 'LOW', 'OPEN', 'CLOSE', 'COUNT'.

However, you can use Build Formula in Eikon Excel to create a formula to retrieve TR.TotalReturn and then apply it to get_data function.

For example:

df = ek.get_data(["AAPL.O", "IBM.N"], 
                 ["TR.TotalReturn.Date","TR.TotalReturn",],
                 {"SDate":"2017-10-23","EDate":"2017-11-29","Frq":"D","CH":"Fd", "RH":"IN"});

It returns:

(   Instrument                  Date  Total Return
 0      AAPL.O  2017-11-29T00:00:00Z     -2.074305
 1      AAPL.O  2017-11-28T00:00:00Z     -0.585904
 2      AAPL.O  2017-11-27T00:00:00Z     -0.502943
 3      AAPL.O  2017-11-24T00:00:00Z      0.005716
 4      AAPL.O  2017-11-22T00:00:00Z      1.051172
 5      AAPL.O  2017-11-21T00:00:00Z      1.859042
 6      AAPL.O  2017-11-20T00:00:00Z     -0.099912
 7      AAPL.O  2017-11-17T00:00:00Z     -0.555231
...
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aquilesjlp300 avatar image aquilesjlp300

Thanks a lot for your valuable help.

Is there a way to make the dates appear as column headers and place the corresponding returns in them?

Jirapongse avatar image Jirapongse

It can return JSON instead of data frame by setting raw_output parameter to True.

df = ek.get_data(["AAPL.O"], ["TR.Close.Date","TR.CLose",],{"SDate":"2015-08-01","EventType":"ALL", "EDate":"2017-11-20","CH":"Fd","RH":"IN"}, raw_output=True);

The output is:

{'columnHeadersCount': 1,
 'data': [['AAPL.O', '2015-08-03T00:00:00Z', 118.44],
...
  ['AAPL.O', '2017-11-20T00:00:00Z', 169.98]],
 'headerOrientation': 'horizontal',
 'headers': [[{'displayName': 'Instrument'},
   {'displayName': 'Date', 'field': 'TR.CLOSE.DATE'},
   {'displayName': 'Price Close', 'field': 'TR.CLOSE'}]],
...
}

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