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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EIKON API Python - Volumes download (differentiated between bid / ask)
Hello @davide.costanzo
Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query? If yes, please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.
Thanks,
AHS
Hello @davide.costanzo
Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?
If so please can you click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question.
Thanks,
AHS
Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.
Thanks,
AHS
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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.
