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Question by richard.fell · Aug 05, 2018 at 05:02 PM · get_timeseriesparameter

get_timeseries with extra parameters

Hello, presuming get_timeseries mimics the functionality of RHistory Excel function I would like to use the TSREPEAT parameter. I would like to download time series data that is not available in the TR function so I'm guessing not available via get_data in the API.I am trying to download similar data for seven rics and don't want to have to line up all the dates afterwards.

In Excel using RHistory with TSREPEAT=Y works just fine, but I notice that this field is not available as a function param in the API. I have tried using SendJSONRequest with same request string but injecting "tsrepeat":"Y" but it seems to be ignored.

Interesting that this TR help page: https://customers.reuters.com/rph/tremo/sliver.aspx?topic=RHistory states that the default is TSREPEAT = Y but get_timeseries default behaviour appears to be N.

There are other params like DAY and NULL which would be good to also have added if possible.

Thanks in advance.

Richard

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richard.fell · Aug 05, 2018 at 05:19 PM 0
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I also tried using the get_timeseries parameter Calendar thinking that it might force the dates to line up on each timeseries per ric, but each of the three settings seemed to have no effect.

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Answer by Zhenya Kovalyov · Aug 31, 2018 at 02:58 AM

@richard.fell

Apologies for the delay, there is no way to organise this out of the box. I guess you can load the API response into some data frame structure like deedle. There is also a bulk timeseries request i developed for a hackathon that you can use as a starting point.

bulkdatarequestcs.zip

Here is the init routine:

new BulkDataRequestSetup()
             .WithRics("AAA1YCD=R", "AA1YCD=R", "A1YCD=R", "BBB1YCD=R", "BBCD1Y=R", "B1YCD=R", "CCC1YCD=R")
             .WithFields("CLOSE", "TIMESTAMP")
             .WithInterval(new Interval(IntervalType.Daily, 1))
             .WithNumberOfPoints(100)
             .OnDataReceived(DataReceivedCallback)
             .OnStatusUpdated(StatusUpdatedCallback)
             .CreateAndSend();

And the callbacks signature:

private static void DataReceivedCallback(Dictionary<string, List<double>> dictionary)
private static void StatusUpdatedCallback(Dictionary<string, IRequestStatus> requestStatuses)


bulkdatarequestcs.zip (2.3 KiB)
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Answer by Zhenya Kovalyov · Aug 06, 2018 at 05:08 AM

@richard.fell, get_timeseries does not really mimic RHistory, they just use the same backend, TSREPEAT functionality is done on the desktop, if I am not mistaken.

The get_timeseries call gives you back a pandas data frame, it is very easy to achieve what you require without any additional tools. Could you provide the rics that you are looking at please, so I can provide you with a relevant code sample?

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richard.fell · Aug 06, 2018 at 05:19 AM 0
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Hello Zhenya

Thanks you for your reply. I use c# and prefer to work with the JSON data so don't use Pandas. The rics I am using are AAA1YCD=R, AA1YCD=R, A1YCD=R, BBB1YCD=R, BBCD1Y=R, B1YCD=R AND CCC1YCD=R.

Is there a way to force the dates to line up and return only one TimeSeriesData list?

Thanks

Richard

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Answer by IDS01 · Apr 15, 2019 at 12:57 PM

Hi @Zhenya Kovalyov I tried running the sample you uploaded in C#. Would you mind sending a sample on how to call the implementation of these codes? Thank you.

Ian

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Zhenya Kovalyov ♦♦ · Apr 16, 2019 at 01:31 AM 0
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@Ian Dexter.Sinel not sure I understand what you mean, if it is the init routine you are after, it is in the original response.

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Answer by asvernal · Nov 02, 2020 at 02:26 PM

Hi -

my apologies for bringing this up again, but I do not seem to get what the "calendar" parameter in get_timeseries does at all. Similar to Richard in the original question, I get the same results for the RICs I tested, no matter if I set "calendar" to "tradingdays" or "calendardays".

Is there really no way to use get_timeseries to get all calendar days as an index and NaN for the days without data?

Thanks,

Andy

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pierre.faurel · Nov 03, 2020 at 08:57 AM 1
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For python eikon API users, a way to add missing dates with NaN:

ts = ek.get_timeseries(...)
idx = pd.date_range(min(ts.index), max(ts.index))
ts.index = pd.DatetimeIndex(ts.index)
ts = ts.reindex(idx)
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Alex Putkov. ♦♦ · Nov 02, 2020 at 06:09 PM 0
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The value of calendar argument has an effect on intraday timeseries. It controls whether the timeseries include pre and post market trades or only the regular trading session.

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asvernal Alex Putkov. ♦♦ · Nov 02, 2020 at 11:16 PM 0
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Thanks, Alex.

May I suggest that you clarify the documentation accordingly?

BTW: Resampling the result from get_timeseries with resample('D').asfreq() appears to be the fastest way to get the functionality that I was looking for initially.

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