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Missing dates for get_timeseries and no VWAP data for German stocks

  • When using the ‘get_timeseries’ function if I specify a date range for the previous 2 weeks on these two RICs, ‘ARONL.S’ and ‘SCF.L’ no data for the dates ‘2018-01-05’ and ‘2018-01-08’ get returned even though these are trading days for their respective exchanges. Why is this?
  • I can’t seem to collect the timeseries VWAP prices for German and Oslo stocks. I have tried using the ‘get_data’ function and calling the variables ‘TR.TSVWAP’ and ‘VWAP.Value’ however it always returns an empty dataframe. The slightly confusing thing for me is that I can collect the VWAP prices using the process table in Excel, so the data is there.
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1 Answer

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@wasim,

1. Some of the instruments may not be traded daily due to illiquidity. For instance, I could not find any trades for ARONL.S for 2018-01-05. Here is the request and the result:

ts = tr.get_timeseries(rics=['SCF.L', 'ARONL.S'], fields="CLOSE", start_date='2018-01-01', end_date='2018-01-20', interval="daily")

2. For VWAP, you try this:

response, err = tr.get_data(instruments=['SCF.L', 'ARONL.S'], fields=['TR.TSVWAP.date','TR.TSVWAP.value'], parameters={'Frq':'D','SDate':'0','EDate':'-9'})

vwap = response.pivot_table(values='VWAP', index=['Date', 'Instrument']).unstack('Instrument') 


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From what I can gather from the answer to my first question is that when there are missing dates its purely down to illiquidity of the stock and consequently being no data in your database. For the second part of my question regarding not being able to obtain historic German VWAP data, this still doesn't work.

@wasim, I have looked at .GDAXI constituents, and none seem to have TR.TSVWAP populated, so seems like something to do with stocks listed on Deutsche Boerse. At this point, I suggest to contact your local Thomson Reuters Support Desk for the explanation. You can refer to the data absent in Eikon Excel, since they are using the same back ends.