Discover Refinitiv
MyRefinitiv Refinitiv Perspectives Careers
Created with Sketch.
All APIs Questions & Answers  Register |  Login
Ask a question
  • Questions
  • Tags
  • Badges
  • Unanswered
Search:
  • Home /
  • Eikon Data APIs /
avatar image
Question by davide.costanzo · Apr 05, 2019 at 12:26 PM · composite exchange codes

EIKON API - Composite formula timeseries

I'd like to download a composite time series usiing the EIKON Api . For example (3*LCOc1 - 2*CLc1).

¨what is the syntax that I have to use for the "get_timeseries" command ?

People who like this

0 Show 0
Comment
10 |1500 characters needed characters left characters exceeded
▼
  • Viewable by all users
  • Viewable by moderators
  • Viewable by moderators and the original poster
  • Advanced visibility
Viewable by all users

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

4 Replies

  • Sort: 
avatar image
REFINITIV
Best Answer
Answer by Alex Putkov. · Apr 05, 2019 at 06:21 PM

The composites are not available at the headend. They're calculated on the desktop by the chart app. You can easily replicate the same calculation. Try

df1 = ek.get_timeseries(['LCOc1'], ['OPEN','HIGH','LOW','CLOSE'])
df2 = ek.get_timeseries(['CLc1'], ['OPEN','HIGH','LOW','CLOSE'])
df3 = 3*df1 - 2*df2
df3.columns.name = '3*LCOc1-2*CL1'
Comment

People who like this

0 Show 0 · Share
10 |1500 characters needed characters left characters exceeded
▼
  • Viewable by all users
  • Viewable by moderators
  • Viewable by moderators and the original poster
  • Advanced visibility
Viewable by all users

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

avatar image
REFINITIV
Answer by Zhenya Kovalyov · Apr 05, 2019 at 12:32 PM

@davide.costanzo, you can request both time series individually, and run the formula on the response:

df = ek.get_timeseries(['LCOc1', 'CLc1'], 'CLOSE')
df['composite'] = 3*df['LCOc1']-2*df['CLc1']
df.head()


screenshot-2019-04-05-at-173154.png (21.0 KiB)
Comment

People who like this

0 Show 0 · Share
10 |1500 characters needed characters left characters exceeded
▼
  • Viewable by all users
  • Viewable by moderators
  • Viewable by moderators and the original poster
  • Advanced visibility
Viewable by all users

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

avatar image
Answer by davide.costanzo · Apr 05, 2019 at 12:39 PM

thanks for your answer. I actually need to download ( HIGH , LOW, OPEN , CLOSE ) for the composite expression.

It is something I can already see using the 'chart' tab in the TR interface and using the composite expression:

3*"Q%LCOc1"-2*"Q%CLc1"

see attachment:

capture.png

So I just want to download that data.

thanks

Davide


capture.png (55.2 KiB)
Comment

People who like this

0 Show 0 · Share
10 |1500 characters needed characters left characters exceeded
▼
  • Viewable by all users
  • Viewable by moderators
  • Viewable by moderators and the original poster
  • Advanced visibility
Viewable by all users

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

avatar image
Answer by davide.costanzo · Apr 08, 2019 at 04:56 AM

Thank you for your answer.

This way of calculating the HIGH and LOW of the composite time series leads to a meaningless result.

This because , if A and B are two time series , it can be shown that

max(A-B) != max(A)-max(B)

and similarly

min(A-B) != min(A)-min(B) .

You can see this fact with an example. For example A= (0,3,0,2) and B = (3,4,1,4) . You would see that if one does (A-B) the correct (OPEN , HIGH, LOW, CLOSE) is (-3,2,-3,-2) .

Whereas simply subtracting

(OPEN , HIGH, LOW, CLOSE) - (OPEN ' , HIGH ', LOW ', CLOSE ')

would lead to (-3,-1,-1,-2) .

I verified in the 'Chart' tab , and indeed what you said is correct : that is the way it is calculated in Reuters.

I just wanted to point out the conceptual error.

Comment

People who like this

0 Show 1 · Share
10 |1500 characters needed characters left characters exceeded
▼
  • Viewable by all users
  • Viewable by moderators
  • Viewable by moderators and the original poster
  • Advanced visibility
Viewable by all users

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

avatar image
REFINITIV
Alex Putkov. ♦♦ · Apr 08, 2019 at 09:21 AM 0
Share

You're right, this is a known limitation of the composites in the Chart app. The highs and lows are not accurate and shouldn't be relied upon. The only way to construct true composite highs and lows is to retrieve the entire tick history for all the instruments, construct the composite tick history and then summarize it into say daily intervals, which of course would be a much more expensive operation, not to mention that tick history going back more than 90 days is not available through Eikon. That's the reason why the composites in the Chart app implement this very inaccurate approximation.

Watch this question

Add to watch list
Add to your watch list to receive emailed updates for this question. Too many emails? Change your settings >
8 People are following this question.
  • Feedback
  • Copyright
  • Cookie Policy
  • Privacy Statement
  • Terms of Use
  • Careers
  • Anonymous
  • Sign in
  • Create
  • Ask a question
  • Spaces
  • Alpha
  • App Studio
  • Block Chain
  • Bot Platform
  • Calais
  • Connected Risk APIs
  • DSS
  • Data Fusion
  • Data Model Discovery
  • Datastream
  • Eikon COM
  • Eikon Data APIs
  • Elektron
    • EMA
    • ETA
    • WebSocket API
  • Legal One
  • Messenger Bot
  • Messenger Side by Side
  • ONESOURCE
    • Indirect Tax
  • Open PermID
    • Entity Search
  • Org ID
  • PAM
    • PAM - Logging
  • ProView
  • ProView Internal
  • Product Insight
  • Project Tracking
  • Refinitiv Data Platform
    • Refinitiv Data Platform Libraries
  • Rose's Space
  • Screening
    • Qual-ID API
    • Screening Deployed
    • Screening Online
    • World-Check One
    • World-Check One Zero Footprint
  • Side by Side Integration API
  • TR Knowledge Graph
  • TREP APIs
    • CAT
    • DACS Station
    • Open DACS
    • RFA
    • UPA
  • TREP Infrastructure
  • TRIT
  • TRKD
  • TRTH
  • Thomson One Smart
  • Transactions
    • REDI API
  • Velocity Analytics
  • Wealth Management Web Services
  • World-Check Data File
  • Explore
  • Tags
  • Questions
  • Badges