python can not get the "TR.MIDPRICE" data of “AUDQM3AB3Y=”，however the excel can do it

python code is：

ek.get_data(['AUDQM3AB3Y='],{"TR.MIDPRICE": {'params': {'SDate': '2017-12-28', 'CALCMETHOD': 'CLOSE', 'Points': 1}}})[0]

run it，we can get NAN like this：

Instrument Mid Price
0 AUDQM3AB3Y= NaN

However in excel，we can get the data.

EXCEL code is:

=RHistory("AUDQM3AB3Y=","MID_PRICE.Timestamp;MID_PRICE.Close","START:2017-12-28 NBROWS:1 TRADETIME:YES INTERVAL:1D",,"TSREPEAT:NO SORT:ASC NULL:NA CH:Fd")

Only AUD currency has this problem,AUDQM3AB5Y=, AUDSM6AB2Y=, AUDQM3AB3Y= all can not get the data through python.

However other currency like USDAM3L2Y=; CADSB3BA2Y=;CHFAB6L10Y= do not has the problem, they can get the data through excel or python.

How can I deal with the problem?

THANKS

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Accepted answers

Zhenya Kovalyov

The equivalent to RHistory in Excel is get_timeseries() The only problem here is that the get_timeseries() currently only supports the default "view", which for OTC instruments is BID. So, to summarise - there is no way that you can get the mid price into python, unfortunately.

All comments

chavalit-jintamalit

Using Data Item Browser to check the data, it also returns no value.

This is the equivalent call on Excel:

=TR("AUDQM3AB5Y=","TR.MIDPRICE(CALCMETHOD=CLOSE)","SDate=2017-12-28 Points=1 CH=Fd RH=IN")

Which also returns Null value.

AUDQM3AB5Y=  NULL

Please submit data question to ContactUs.

chengyuchi

=RHistory("AUDQM3AB3Y=","MID_PRICE.Timestamp;MID_PRICE.Close","START:2017-12-28
NBROWS:1 TRADETIME:YES INTERVAL:1D",,"TSREPEAT:NO SORT:ASC NULL:NA
CH:Fd")

what is the equivalent call of this on python.

thanks

Zhenya Kovalyov

chengyuchi

Thanks for your answer.

But there is no problem with other currency RIC， such as： USDAM3L2Y=;CADSB3BA2Y=；CHFAB6L10Y=；GBPSB6L10Y=；SGDSB6SO4Y= and so on. I can get the mid data using get_data() in python, which is the same with the RHistory data in Excel. As you said, no way unfortunately to get the mid price in python. How to explain it?

Eikon python API not support AUD only?

Thanks very much !

zoya faberov

Does this example help:

df, err = ek.get_data("AUDQM3AB5Y=", 
     [ 
     'TR.MIDPRICE.date',
     {'TR.MIDPRICE.value':{'params':{'SDate': '20171228','CALCMETHOD': 'CLOSE'}}},
     {'TR.MIDPRICE.value':{'params':{'SDate': '20180110','CALCMETHOD': 'CLOSE'}}},
     {'TR.MIDPRICE.value':{'params':{'SDate': '1D','CALCMETHOD': 'CLOSE'}}},
     ])

resulting in:

    Instrument                  Date  Mid Price  Mid Price  Mid Price
0  AUDQM3AB5Y=  2018-01-24T00:00:00Z      2.395      2.375      2.503

Note, that TR.MIDPRICE.date is the date of the run, with TR.MIDPRICE.value defined by SDate parameter

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