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.
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.
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)
@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?
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?