I'd like to download historical volumes for a certain symbol (e.g. Brent LCOc1 ) , with volumes differentiated between bid and ask volumes.
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I suppose what you're asking for is the history of the order size for the top of the book bid and ask quotes. This data is available in Eikon for intraday intervals, however at the moment it cannot be retrieved using Eikon Data APIs. Currently it can only be retrieved using Eikon .NET API or using RHistory library of Eikon COM APIs.
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thanks, that's what I need indeed. Is this data available also in Elektron Data Platform API?
On historical pricing endpoint on Elektron Data Platform, which is in early access program at the moment, I see that bid and ask size are currently available through events API, which provides pricing events (trades, quotes and corrections). You can think of this API as providing time & sales and time & quotes records. But bid and ask volumes are not available through intraday or interday summaries APIs providing historical pricing bars for intraday or interday intervals.
