Time And Sales in Python: select fields to retrieve

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Question by emmanuel.godet · Jun 28, 2018 at 11:38 AM · python timeseries mifid

Time And Sales in Python: select fields to retrieve

Hi, I am trying to pull trades for MiFID RICs. I wrote:

df = ek.get_timeseries(["DE0001102408=TWEA"],
interval = 'tick',
start_date="2018-06-01",
end_date="2018-06-30")

THis retrieves trade datetime, value and volume.

Can someone tell how to retrieve publication time, trade id, trade flags, etc.?

Cheers,

Emmanuel

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Answer 1 · 2018-06-28T12:22:21Z

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Answer by Zhenya Kovalyov · Jun 28, 2018 at 12:22 PM

this data is not present in the tick interval views, but rather time and sales (TAS) which is not currently supported.

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Answer 2 · 2018-06-28T12:43:42Z

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Answer by Alex Putkov. · Jun 28, 2018 at 12:43 PM

@emmanuel.godet
The only two APIs currently available through Eikon that provide the capability to retrieve the data you're after are RHistory COM library, which can only be used in Excel VBA, and Eikon .NET API.

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Answer 3 · 2018-06-28T13:14:30Z

Answer by emmanuel.godet · Jun 28, 2018 at 01:14 PM

Thanks both of you. Is the permissioning of the calling python app, which uses a key I created with my Eikon account, will be the same as when I use Eikon? (I could probably experiment a bit, but you can probably answer my question quicker:))

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Alex Putkov. ♦♦ · Jun 28, 2018 at 01:18 PM 0

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If you're asking about data entitlements, the answer is yes. Since Eikon APIs retrieve data from Eikon platform, the same data entitlements are enforced as when you use Eikon application or Eikon Excel.

Time And Sales in Python: select fields to retrieve

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