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How can I get bid and ask prices in a 1-min intervale from Python API for LCOc1 and LCOTc1?
Hello @megha.pandit
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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.
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lco = ek.get_timeseries(['LCOc1'],start_date='2019-09-10T12:00:00',end_date='2019-09-10T15:00:00',interval='minute')
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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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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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@James.Perkins @marcin.bunkowski thanks and what is the time zone in the timeseries? London time or user defined?
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@James.Perkins @marcin.bunkowski is there any more data in the tas interval format? like Ask size or bid size?
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.
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@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")
