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dshalashova avatar image
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Retrieving Brent Futures data at specific times - Excel Plug in

Hello, I am currently using the formula builder in excel to pull Brent Futures historical data. I`m interested in a formula which would generate prices for Brent Futures at specific times during the day, as opposed to the closing price of each day.

I`m using the below formula where B1 is my product of interest, B2 the start date, B3 the end date and I want basically B4 to be a set time. (i.e. Brent Futures prices each day at 16:00).

=RHistory($B$1,".Timestamp;.Close","START:"&$B$2&" END:"&$B$3&" TIMEZONE:LON INTERVAL:1D",,"TSREPEAT:NO",B6)

Ideally the formula will refer to the time cell which I could then change to retrive prices at a different time.

Thank you for your time

Best Regards,

Dasha

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Jirapongse avatar image   Jirapongse

@25d05fc5-db02-4b8d-b344-56f51747faa6

Hi,

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AHS

pimchaya.wongrukun01 avatar image   pimchaya.wongrukun01

@25d05fc5-db02-4b8d-b344-56f51747faa6

Hi,

Thank you for your participation in the forum.

Is the reply below satisfactory in resolving your query?

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

Thanks,

AHS

wasin.w avatar image   wasin.w

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

Thanks,

AHS

1 Answer

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Zhenya Kovalyov avatar image
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@25d05fc5-db02-4b8d-b344-56f51747faa6 Hi Dasha,

The easiest way to achieve this that I can think of is this.

  1. The 60 minute interval formula will give you 2000 data points =RHistory("LCOc1",{"TRDPRC_1.Timestamp","TRDPRC_1.Close"},"NBROWS:2000 INTERVAL:60M",,"TSREPEAT:NO CH:Fd")
  2. Create a logical formula to mark the row with the 16:00:00 value: =IF(ROUND(A2-INT(A2), 7)=ROUND(TIME(16, 0,0),7), "X", "")
  3. Filter by this flag

I also suggest that you should seek advise from your local Thomson Reuters support desk, as all other options I can think of involve the use of the APIs.

samplexlsx.zip


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samplexlsx.zip (53.7 KiB)
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