Minute prices
Hi,
we noticed some differences in minute prices between the Eikon workspace and the Python API, starting from last November 5. Some tickers seem correct and matching, while others have different prices and seem to have wrong time-stamps. Could you please check? Thanks
@valerio.gemmetto
I think you might be confused about daylight savings time, as I don't see any discrepancies. The market open for US stocks is always 9:30 am New York time. On 25 Oct 2018 9:30 am New York time is 13:30 GMT, as 25 Oct 2018 falls within daylight savings time period, which in the US ran from 11 Mar 2018 till 4 Nov 2018, and during which period New York time = GMT - 4, as opposed to standard New York time = GMT - 5, which runs from 4 Nov 2018 till 10 Mar 2019.
On 25 Oct 2018 US market open was at 13:30 GMT. Today it is at 14:30 GMT.
The example of get_timeseries method you included returns an error because start_date and end_date parameters that define the boundaries of the time range requested cannot have exact same value.
Intraday timeseries for composite RICs such as IBM, TRI, AAPL.O etc include pre and post market trades. When you request minute bars for AAPL.O, which is one of the most liquid stocks, the first bar for the day will most likely have the timestamp of 12 am GMT. During daylight savings time this corresponds to the end of the previous day post market session that terminates at 8 pm New York time, and you won't see the next bar until 8 am GMT (4 am New York time when the pre-market trading starts). Outside of daylight savings time the bar at 12 am GMT corresponds to post trading at 7 pm New York time and the bars will continue until 1 am GMT and then stop until 9 am GMT.
The timeseries for NYSE RICs such as IBM.N, TRI.N etc include only regular market session trades, therefore the first bar for the day for these RICs will be timestamped 13:31 GMT or 14:31 GMT.
With regard to the discrepancies in minute bars you mentioned in your original post, if you still see them, would you mind providing a very specific example including the RIC, the timestamp on the bar and the values? A screenshot might be even better.
@valerio.gemmetto Hi -sorry to hear about your issue - do you have a RIC that is displaying this behaviour so we can check it. thx
Hi Jason,
there are a few, for example ALB.N, AKS.N, DWDP.N and many more. Please let me know
I believe it may be connected to DST which ended for US (your examples are from NYSE) on November 4th.
Python API displays that by default in GMT, can you compare that in Eikon using the same timezone?
Thanks
Hi @marcin.bunkowski I am not sure that the error is related to DLS. If you check for instance AAPL.O on 25 Oct 2018, it seems that the actual Open Price is reported at 13:30 GMT, instead of 14:30 GMT as I would expect (5 hours difference w.r.t. New York). I use the following function:
tmp = eik.get_timeseries('AAPL.O', 'CLOSE', start_date='2018-10-25', end_date='2018-10-25', interval='minute', corax='unadjusted', raw_output=True)
df = tmp['timeseriesData'][0]['dataPoints']
This is actually before the DLS in both Europe and US.
Moreover, are you aware of any change in the way the API is reporting pre-market (pre-opening) prices? Do you think the coverage of pre-market minute prices has changed recently?
Thanks
Hi @Alex Putkov. thanks for the reply.
1) the confusion was between UTC and GMT. Do you confirm that you guys have always provided data in UTC, as you still do now?
2) I now understand the pre-market price data, they depend whether you consider the primary or the consolidated exchange
3) the discrepancies were due to the UTC/GMT mismatch, so never mind
Thanks, Valerio
