How can I get bid and ask prices in a 1-min intervale from Python API for LCOc1 and LCOTc1?

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Question by megha.pandit · Sep 12, 2019 at 12:52 PM · eikon eikon-data-api workspace refinitiv-dataplatform-eikon workspace-data-api python time-series fields

How can I get bid and ask prices in a 1-min intervale from Python API for LCOc1 and LCOTc1?

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Answer 1 · 2019-09-12T22:16:38Z

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Answer by James.Perkins · Sep 12, 2019 at 10:16 PM

If you adjust interval to "tick" you will get each tick... at this point you can't select individual second.

lco = ek.get_timeseries(['LCOc1'],start_date='2019-09-10T12:00:00',end_date='2019-09-10T15:00:00',interval='tick')

Currently get_timeseries() supports

Available fields: 'TIMESTAMP', 'VALUE', 'VOLUME', 'HIGH', 'LOW', 'OPEN', 'CLOSE', 'COUNT'

this is being reviewed for the roadmap. It should be noted that 'VALUE' as a tick value is both Bid and Ask values ... it is whatever traded; some trades hit at the bid, others at the ask.

bidask.png (40.2 KiB)

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Answer 2 · 2019-09-12T13:46:37Z

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Answer by James.Perkins · Sep 12, 2019 at 01:46 PM

lco = ek.get_timeseries(['LCOc1'],start_date='2019-09-10T12:00:00',end_date='2019-09-10T15:00:00',interval='minute')

lco.png (26.0 KiB)

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Answer 3 · 2019-09-12T14:35:41Z

Answer by megha.pandit · Sep 12, 2019 at 02:35 PM

there is no bid and ask prices in this. I received the bid - ask prices from another team - TREMO. It's the prices per second. Is that possible to retrieve from python api?

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Answer 4 · 2019-09-13T13:21:39Z

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Answer by marcin.bunkowski · Sep 13, 2019 at 01:21 PM

Hi @megha.pandit

You can also try using a tas (time and sales) interval:

ek.get_timeseries('LCOc1',['Bid','Ask'], start_date = "2019-09-06T06:00:00", end_date = "'2019-09-06T21:00:00", interval="tas")

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Answer 5 · 2019-09-16T13:12:52Z

Answer by megha.pandit · Sep 16, 2019 at 01:12 PM

@marcin.bunkowski is 'tas' the time and sales or trade at settlement?

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James.Perkins ♦♦ · Sep 16, 2019 at 01:14 PM 0

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TAS = Time and Sales

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marcin.bunkowski · Sep 16, 2019 at 01:15 PM 0

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Hi @megha.pandit

It's "time and sales".

Answer 6 · 2019-09-19T14:39:56Z

Answer by megha.pandit · Sep 19, 2019 at 02:39 PM

@James.Perkins @marcin.bunkowski thanks and what is the time zone in the timeseries? London time or user defined?

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marcin.bunkowski · Sep 20, 2019 at 10:11 AM 0

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@megha.pandit

It's GMT time zone

Answer 7 · 2019-09-20T07:21:42Z

Answer by meghapandit86 · Sep 20, 2019 at 07:21 AM

@James.Perkins @marcin.bunkowski is there any more data in the tas interval format? like Ask size or bid size?

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marcin.bunkowski · Sep 20, 2019 at 10:04 AM 0

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Hi @megha.pandit

Yes, it looks that you can get those fields as well

ek.get_timeseries('LCOc1',['Bid','Ask','Bidsize','Asksize'],start_date = "2019-09-06T06:00:00",end_date = "'2019-09-06T06:01:00", interval="tas")

I have tried using the same fields that are available when retrieving that in Excel without a prefix. It looks that not all of them are yet supported.

Answer 8 · 2019-09-23T09:14:09Z

Answer by megha.pandit · Sep 23, 2019 at 09:14 AM

@James.Perkins @marcin.bunkowski

This only gives me one day of data irrespective of the start and end time. Although for the LCOTc1 Ric I can find three months of history. Any work around this?

ts = ek.get_timeseries('LCOc1', ['Bid', 'Ask','Bidsize', 'Asksize'], start_date = "2019-06-10T18:28:00", end_date = "2019-09-20T18:30:00", interval = "tas")

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marcin.bunkowski · Sep 23, 2019 at 12:45 PM 0

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@megha.pandit

The max output is 50000 rows. A workaround is to split your request.

How can I get bid and ask prices in a 1-min intervale from Python API for LCOc1 and LCOTc1?

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