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daniel.schmitt avatar image
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Intraday data with eikonapir in R

I am testing if I could get hourly data for the .SPX:

> result <- get_timeseries(list(".SPX"),list("*"),"2016-01-01T15:04:05","2016-01-10T15:04:05",interval="hour", debug = TRUE)
[1] "Request *************************************"
{"Entity":{"E":["TimeSeries"],"W":{"rics":[[".SPX"]],"fields":[["*"]],"interval":["hour"],"startdate":["2016-01-01T15:04:05"],"enddate":["2016-01-10T15:04:05"]}}} 
[1] "Response *************************************"
[1] "{\"timeseriesData\":[{\"dataPoints\":null,\"errorCode\":\"TSIError\",\"errorMessage\":\"Error: TSINoDataAvailable, ErrorCode: TA-TSINoDataAvailable, Fault: TSIError, Description: No data available for the requested date range\",\"ric\":\".SPX\",\"statusCode\":\"Error\"}]}"
[1] "Response status *************************************"
[1] 200


> result
         
1 NA .SPX
For daily data it works fine:
> result <- get_timeseries(list(".SPX"),list("*"),"2016-01-01T15:04:05","2016-01-10T15:04:05",interval="daily", debug = TRUE)
[1] "Request *************************************"
{"Entity":{"E":["TimeSeries"],"W":{"rics":[[".SPX"]],"fields":[["*"]],"interval":["daily"],"startdate":["2016-01-01T15:04:05"],"enddate":["2016-01-10T15:04:05"]}}} 
[1] "Response *************************************"
[1] "{\"timeseriesData\":[{\"dataPoints\":[[\"2016-01-04T00:00:00Z\",2038.2,2012.66,1989.68,2038.2,null],[\"2016-01-05T00:00:00Z\",2021.94,2016.71,2004.17,2013.78,null],[\"2016-01-06T00:00:00Z\",2011.71,1990.26,1979.05,2011.71,null],[\"2016-01-07T00:00:00Z\",1985.32,1943.09,1938.83,1985.32,null],[\"2016-01-08T00:00:00Z\",1960.4,1922.03,1918.46,1945.97,null]],\"fields\":[{\"name\":\"TIMESTAMP\",\"type\":\"DateTime\"},{\"name\":\"HIGH\",\"type\":\"Double\"},{\"name\":\"CLOSE\",\"type\":\"Double\"},{\"name\":\"LOW\",\"type\":\"Double\"},{\"name\":\"OPEN\",\"type\":\"Double\"},{\"name\":\"VOLUME\",\"type\":\"Double\"}],\"ric\":\".SPX\",\"statusCode\":\"Normal\"}]}"
[1] "Response status *************************************"
[1] 200


> result
             TIMESTAMP    HIGH   CLOSE     LOW    OPEN VOLUME   NA
1 2016-01-04T00:00:00Z  2038.2 2012.66 1989.68  2038.2   <NA> .SPX
2 2016-01-05T00:00:00Z 2021.94 2016.71 2004.17 2013.78   <NA> .SPX
3 2016-01-06T00:00:00Z 2011.71 1990.26 1979.05 2011.71   <NA> .SPX
4 2016-01-07T00:00:00Z 1985.32 1943.09 1938.83 1985.32   <NA> .SPX
5 2016-01-08T00:00:00Z  1960.4 1922.03 1918.46 1945.97   <NA> .SPX


Does Reuters prevent us from querying this data or do I have to do something differently?
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Alex Putkov.1 avatar image
39.4k ●77 ●11 ●27

Hourly timeseries available through Eikon go back 1 year. In your request you're asking for a 10 day range from 2.5 years ago. If you need hourly price history deeper than 1 year you may want to consider Thomson Reuters Tick History product.

https://financial.thomsonreuters.com/content/dam/openweb/documents/pdf/financial/thomson-reuters-tick-history-fact-sheet.pdf

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