How to get tick data for brent spread?

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Question by karthik.reddy · Mar 20, 2019 at 01:42 PM · tick data brent

How to get tick data for brent spread?

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Answer 1 · 2019-03-21T14:30:32Z

REFINITIV

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Answer by Alex Putkov. · Mar 21, 2019 at 02:30 PM

CL-LCO1=R is not an exchange traded instrument. For this reason there are no TAS for it. However it's also true that at this time even for exchange traded instruments you cannot get full TAS record using Eikon Data APIs. The most you can get using Eikon Data APIs for exchange traded instruments at the moment is the timeseries of trade price and volume. And the only way at the moment to programmatically retrieve from Eikon full TAS that you can see in Time & Sales app in Eikon application is by using either Eikon .NET API or RHistory library of Eikon COM APIs. The latter can only be used in Excel VBA.

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Answer 2 · 2019-03-20T16:42:32Z

REFINITIV

Answer by Alex Putkov. · Mar 20, 2019 at 04:42 PM

1. Find the RIC for the data you're interested in.
2. Use get_timeseries method to retrieve tick data.
E.g. the following call retrieves the latest 50K ticks for the front month WTI vs. Brent spread:

ek.get_timeseries('CL-LCO1=R',interval='tick')

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Answer 3 · 2019-03-21T05:12:57Z

Answer by karthik.reddy · Mar 21, 2019 at 05:12 AM

Thanks @Alex Putkov.: To be more accurate, I am looking for TAS data for brent. ek.get_timeseries('CL-LCO1=R',interval='tick') gives timestamp and price but nothing else.

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How to get tick data for brent spread?

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