question

GoGoGroundhog avatar image
25 8 4 8

Finding valid fields for historical-pricing API

The historical-pricing/v1/views/interday-summaries/ and /intraday-summaries APIs allow to selectively request data for specific fields only (called "views" in Eikon, e.g. TRDPRC_1, BID, ASK, VWAP etc.).

Is there a way to retrieve the fields available for a given security?

rdp-apirefinitiv-data-platformhistoricalfields
10 |1500

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

pimchaya.wongrukun01 avatar image
9.5k 10 5 7

Hello @GoGoGroundhog

I have checked historical pricing service on API Playground and it does not provide fields discovery method. You should request without fields parameter to get all fields. According to Historical Pricing: Time Series Summary (bar), Events (T&S) , all fields are returned by default so requesting recent one data should return all fields as you saw null values.

10 |1500

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

pimchaya.wongrukun01 avatar image
9.5k 10 5 7

Hello @GoGoGroundhog

According to Historical Pricing: Time Series Summary (bar), Events (T&S) , fields are optional; by default all available fields are returned. If you do not specify the fields, you will get all fields of the security. Returned field list order and content can vary depending on the exchange / instrument.

Hope this help.

1 comment
10 |1500

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

Does that mean there is no dedicated fields discovery method available, other than to request all fields and see what comes back?

As a workaround, would it be sufficient to request just one data point, probably the most recent one, and inspect the returned columns? This would only work assuming all column are always delivered even when no current value is present for a field.

I tried this over the API playground: https://api.refinitiv.com/data/historical-pricing/v1/views/interday-summaries/DTEGn.DE?count=1

It appears to work fine, there are two fields returning "null" values (NAVALUE, OFFBK_VOL) and they are not filtered from the response. What do you think?