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FrankZ avatar image
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how do I get historical ticks using Python eikon package

Hello, how do I get historical ticks using Python eikon package?

For example, the Excel way to get real-time ticks is =TR(E3:E1001,"TR.InstrumentDescription;PRIMACT_1;SEC_ACT_1;CF_TIME;GV6_TEXT;CF_BID;CF_ASK","UPDFRQ=STREAM CH=Fd RH=IN")

What about getting historical ticks in Python? I tried the following but with no luck.

import eikon as ek

ek.set_app_key('{my app key here}')

list_rics = ['775109BB6=', ]

list_fields = ['TR.InstrumentDescription', 'PRIMACT_1', 'SEC_ACT_1', 'CF_TIME', 'GV6_TEXT', 'CF_BID', 'CF_ASK']

sd = '2019-09-06T06:00:00'

ed = '2019-09-06T21:00:00'

df = ek.get_timeseries(list_rics, list_fields, start_date=sd, end_date=ed, interval='tick')

print(df)

eikoneikon-data-apipythonrefinitiv-dataplatform-eikonworkspaceworkspace-data-apitick-history-rest-apihistorical
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moragodkrit.chumsri_1 avatar image   moragodkrit.chumsri_1

@FrankZ

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

pimchaya.wongrukun01 avatar image   pimchaya.wongrukun01

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,

AHS

2 Answers

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James.Perkins avatar image
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currently the fields supported by ek.get_timeseries() are; 'TIMESTAMP', 'VALUE', 'VOLUME', 'HIGH', 'LOW', 'OPEN', 'CLOSE', 'COUNT' , which for most instrument types is fine; but for bonds there need to be additional fields added. You can retrieve historical yield data for bonds on a tick basis. (via Eikon Excel you would reference BID.Close and ASK.Close for historical bid/ask levels - these have yet to be added to Eikon DAPI).

ts = ek.get_timeseries(['775109BB6='], fields = ['VALUE'], start_date = "2019-09-06T06:00:00", end_date = "'2019-09-06T21:00:00", interval="tick")


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young.lee avatar image young.lee

@James.Perkins

Hi James! a follow up on this one:


As you mentioned, the bond timeseries data can be retrieved by excel plug in, and I was able to get that. Any chance this function is supported by tickHistoryRaw or python eikon api right now?


Thank you so much for your help!

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marcin.bunkowski avatar image
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Hi,

If you need to get the granular data you may use 'taq' (times and quotes) interval that is not yet officially supported.

ek.get_timeseries('775109BB6=',['Bid','Bid_yield'], start_date = "2019-09-06T06:00:00", end_date = "'2019-09-06T21:00:00", interval="taq")


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