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eb_13 avatar image
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get_data function not returning timestamps/dates? (eikon data api / python)

Hi,


I'm trying to get historical options data but unable to get timestamps when I run the query below, I tried a few different fields instead of "CF_DATE" but none of them worked, 'Rh': 'date' parameter also doesn't seem to do anything. What is the right way to make this query?

e = dt.datetime(2020, 1, 17)
df_opt, err = ek.get_data('SPXm172029000.U', ['CF_DATE', 'TR.BIDPRICE', 'TR.ASKPRICE',
                                'TR.IMPLIEDVOLATILITYOFBIDPRICE', 'TR.IMPLIEDVOLATILITYOFASKPRICE'],
                          {'Rh': 'date', 'SDate': '{:%Y%m%d}'.format(e - dt.timedelta(days=365)),
                           'EDate': '{:%Y%m%d}'.format(e)})


I also tried get_timeseries query, but that doesn't like the ric and returns the error below.

df_opt, err = ek.get_timeseries(
    [ric], ['STRIKE_PRC', 'AQ_ASK', 'AQ_BID', 'BID', 'ASK', 'EXPIR_DATE', 'PUTCALLIND'],
    start_date=start_dt, end_date=end_dt)
Error with SPXm172029000.U: Invalid RIC
SPXm172029000.U: Invalid RIC | 
Traceback (most recent call last):
  File "C:\Users\Eren\source\.venv\meleti\lib\site-packages\IPython\core\interactiveshell.py", line 3296, in run_code
    exec(code_obj, self.user_global_ns, self.user_ns)
  File "<ipython-input-44-cbda5db7f2c9>", line 3, in <module>
    start_date=start_dt, end_date=end_dt)
  File "C:\Users\Eren\source\.venv\meleti\lib\site-packages\eikon\time_series.py", line 197, in get_timeseries
    raise EikonError(-1, message=ts_error_messages)
eikon.eikonError.EikonError: Error code -1 | SPXm172029000.U: Invalid RIC | 


Thanks,

E

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4 Answers

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chavalit-jintamalit avatar image
18k ●21 ●12 ●20

Hi @eb_13

I tried to retrieve all option from this sample code:

df,e = ek.get_data(['0#SPX*.U'],['PUTCALLIND','STRIKE_PRC','EXPIR_DATE','CF_CLOSE','IMP_VOLT']) df.head(5)

Here is the result:


So I selected SPXb212010000.U as a sample.


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chavalit-jintamalit avatar image
18k ●21 ●12 ●20

Hi @eb_13

SPXm172029000.U is not a valid RIC code.


I tried retrieving data for IBM.N


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eb_13 avatar image
3 ●1 ●0 ●0

Hi @chavalit.jintamalit, thanks for your response!

I believe It is...


I tried many different contracts, same issue, field cannot be found, here's with a different one.Here's another one, I think it's a different field for options, but don't know which one.

end_dt = e if e < today else today
# ric is 'SPXm172033000.U' in this case
df_opt, err = ek.get_data(ric, ['CF_DATE', 'TR.BIDPRICE', 'TR.ASKPRICE',
                                'TR.IMPLIEDVOLATILITYOFBIDPRICE', 'TR.IMPLIEDVOLATILITYOFASKPRICE'],
                          {'Rh': 'date', 'SDate': '{:%Y%m%d}'.format(end_dt - dt.timedelta(days=365)),
                           'EDate': '{:%Y%m%d}'.format(end_dt)})



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marcin.bunkowski avatar image marcin.bunkowski

Hi @eb_13

Code <SPXm172029000.U> is for an expired 2020 Jan option that is no longer on a feed. When you are typing that at your end it gives you the info from your local search history cache as you were probably using this code when it was live and active.

Compare that with the RIC that is active now:

@chavalit.jintamalit FYI

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eb_13 avatar image
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It's an expired option so it won't be part of the current option chain you got there, but regardless, you answered my question, I did not know that you could do "[field name],DATE" to get the timestamp. Thanks!

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