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brendan avatar image
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most robust.....get_timeseries or get_data for historic price series?

I am trying to download a lot of RICs (thousands) historic timeseries data for (adjusted) open high low close market cap and volume. Previously I have been told to use get_data to get around the 3k issue. But the results seem to be irregular and have missing data compare to the results in get_timeseries. Below is the code I am using with get_data and then I merge the 3 dataframes. But as an example the data is missing a lot of dates for example RIC 6857.T. TR.CLOSEPRICE field seems to be buggy if you go back to year 2012 onwards . So question is.....is using get_timeseries going to get me better data quality and hence I should just loop through the data to get around 3k issue or am I implementing get_data incorrectly below. Important that the data must be adjusted price series.

                dfpr, e = ek.get_data(riclist[i:i+chunksize],['TR.CLOSEPRICE.date', 'TR.CLOSEPRICE(Adjusted=1)','TR.HIGHPRICE(Adjusted=1)','TR.LOWPRICE(Adjusted=1)','TR.OPENPRICE(Adjusted=1)'],{'SDate':start_date, 'EDate':end_date,'Frq':'D'})
                dfvol, e = ek.get_data(riclist[i:i+chunksize],['TR.Volume.date','TR.Volume'],{'SDate':start_date, 'EDate':end_date,'Frq':'D'})
                dfmcap, e = ek.get_data(riclist[i:i+chunksize],['TR.CompanyMarketCap.date','TR.CompanyMarketCap'],{'SDate':start_date, 'EDate':end_date,'Frq':'D'})
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chavalit-jintamalit avatar image   chavalit-jintamalit

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query? If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.
Thanks, AHS

Nipat Kunvutipongsak avatar image   Nipat Kunvutipongsak

@brendan

Hello again!

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?

If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.

Thanks,

AHS

Jirapongse avatar image   Jirapongse

@brendan

Hi,

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,

AHS

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Alex Putkov.1 avatar image
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Adjusted price history is what you get by default. You don't need to use Adjusted=1 parameter. If what you need is adjusted price history I would suggest using fields ['TR.PriceCloseDate','TR.PriceClose','TR.PriceOpen','TR.PriceHigh','TR.PriceLow'] in get_data method.

I would only suggest using TR.CLOSEPRICE if you need unadjusted price history. It's less than perfect, but currently it's the only way to get unadjusted price history.

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