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What API to use to get quote snapshots
Hi All:
We are building a pricing service that requires getting quote snapshots every few minutes. We would also like to get implied volatility for a given underlying equity where possible. The pricing service is written in python and runs on Linux (though we can run it on Windows as well). Also, I am currently permissioned for Eikon and can get data into Excel but don't have access to the Eikon Data Proxy API. There appear to be a number of different ecosystems such as DSS, Elektron, and REDI that might solve this problem (?) but it is not clear to me the best way forward. Is there an alternate API system I should/could be looking at?
Thank you,
Matt
Hello @matt.edwards
The other API for your consideration is Refinitiv Data Platform APIs (RDP APIs) which is the REST-based interface to the cloud Platform. The RDP APIs have "/data/pricing/<version>/snapshots" REST API which provide market data for one or more instruments in a single request for consumers.
Please note that this Pricing Snapshots API is still in a beta version.
However, based on your "getting quote snapshots every few minutes" requirement, the ERT in Cloud that recommended by my colleague above is also suitable.
On the Eikon Data API overview page, it states that:
How can you leverage this API?
Any Eikon end user, where the data doesn’t leave the desktop, can use this API to access their Eikon data more flexibly. And if you want more than that, i.e. beyond single applications on one desktop, and you want data to leave your desktop, our Elektron Data Platform is the right solution for you. Learn more here.
So if you are building a pricing service and plan to redistribute the data, Eikon Data API is not an appropriate product for you.
You can consider subscribing to Elektron Real-Time in Cloud (ERT in Cloud) for realtime streaming data.
And here is the API tutorial (Elektron SDK connecting to ERT in Cloud).