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davidk avatar image
244 ●9 ●10 ●15

NaN in Python CUSIP query when asking for multiple securities; returns correctly with one security

Very bizarre behavior-- data which is showing up as NaN when requested with multiple securities, is showing up as valid when requested one security at a time. More oddly, if the multiple securities request is rerun after a single-security request, any securities singly-requested then have non-NaN values.

Reproduction instructions:

Suppose I set rics to a list of rics:

rics = [u'GLT', u'GLW', u'GATX.K', u'NEO.O', u'GNTX.O', u'CORT.O', u'COLM.O', u'GPC', u'GPS', u'MRC', u'CASH.O', u'GRC', u'GT.O', u'ZBH', u'LBAI.O', u'ROCK.O', u'IAC.O', u'GWW', u'AJRD.K', u'KAI', u'UBSH.O', u'HAL', u'BECN.O', u'HAS.O', u'HRC', u'RDWR.O', u'HB AN.O', u'ARNA.O', u'PTEN.O', u'ALLT.O', u'DECK.K', u'WELL.K', u'HCP', u'HCSG.O', u'BEL', u'HD', u'HOG', u'HE', u'UFPI.O', u'HEI', u'SCHN.O', u'HELE.O', u'MOV', u'LXP', u'CHK', u'REG.O', u'CSEAF.PK', u'HL']

Consider the following base request:

In[19:] data, err = ek.get_data(rics, ['TR.CUSIPCode', 'TR.CinCUSIPCode'])

In the response to this first call, I get all NaN for every RIC:

In [20]: print data

NaN TR.CUSIPCODE TR.CINCUSIPCODE

0 GLT NaN NaN

1 GLW NaN NaN

2 GATX.K NaN NaN

...

46 CSEAF.PK NaN NaN

47 HL NaN NaN

In the second call, I request just the first RIC, and find a valid CUSIP for it:

In [21]: data, err = ek.get_data(rics[0], data_field)

In [22]: print data

Instrument CUSIP Code CIN

0 GLT 377316104 NaN

Note that requesting RIC GLT alone makes it non-NaN, even though in the multi-RIC request it was NaN.

Then if I immediately re-request all the RICs-- now GLT has a valid CUSIP code but none of the other RICs do:

In [23]: data, err = ek.get_data(rics, data_field)

In [24]: print data

Instrument CUSIP Code CIN

0 GLT 377316104.0 NaN

1 GLW NaN NaN

2 GATX.K NaN NaN

...

46 CSEAF.PK NaN NaN

47 HL NaN NaN

This seems really strange, and I have confirmed that it occurs on both pyeikon 0.1.13 and 1.0.0.

Any ideas what is going on here?

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1 Answer

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Zhenya Kovalyov avatar image
4.6k ●26 ●7 ●22

@davidk that's a backend oddity which seems like a bug. Here is a workaround, which is not ideal though:

  1. Use TR.CUSIPExtended instead of both CUSIP and CIN, as it is designed to always return a value;
  2. Do smaller batch requests, for instance, 10 at a time
df, err = ek.get_data(rics[:10], ['TR.CUSIPExtended'])

In the meantime, I will report it to the dev.

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davidk avatar image davidk

Thanks, we will use the CUSIPExtended field.

As for batching-- Any general rule as to what limit to use? We're quants who often ask for data fields for 1000-2000 securities. Limiting requests even for a single field to batches of 10 (or 1, the only thing we've found consistently works recently) really hampers the performance of the Python API. I know there are data limits associated with each API request IIRC they were orders of magnitude higher than this.

Zhenya Kovalyov avatar image Zhenya Kovalyov davidk

@davidk the causes are being investigated. I suggested batching this specific request as a workaround, so you should be fine in other cases, API will tell you when the per request limit is hit.

Another optimization technique for you, until we finish investigating it, would be to use the symbology API to convert RIC to CUSIP, and in a separate call look for the CIN for the tickers that do not have a CUSIP:

df = ek.get_symbology(rics, from_symbol_type='RIC', to_symbol_type='CUSIP')
cin_rics = df[df['CUSIP'].isnull()].index.tolist()
cin_df, err = ek.get_data(cin_rics, ['TR.CUSIPExtended']
Zhenya Kovalyov avatar image Zhenya Kovalyov Zhenya Kovalyov

@davidk does the job in two requests.