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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)
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")
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")
