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Florian92 avatar image
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Calculate within EIKON API request

Hi,

I am currently trying to retrieve the yearly median of bid-ask spreads for given firms. In Datastream this expression looks like this: MED#((X(PA)-X(PB)/(X(PA)+X(PB)/2)),01/01/2010,31/12/2015) with X being the respective company identifier and frequency set to "Yearly" to get the yearly median.

Is there any way to do the same in the EIKON API? I tried calculating with:

data, error=ek.get_data('MSFT.O', [('TR.ASKPRICE'-'TR.BIDPRICE')/(('TR.ASKPRICE'+'TR.BIDPRICE')/2)], parameters={'SDate':'2010-01-01', 'EDate':'2015-12-31'}) but received an error: 

unsupported operand type(s) for -: 'str' and 'str'
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Alex Putkov.1 avatar image
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You have a syntax error in your expression. The second argument of get_data method must be a string or a list of strings. If you'd like the timeseries of the ratio of bid/ask spread to the mid price use:

ek.get_data('MSFT.O',
            ['TR.BIDPRICE.date',
             '2*(TR.ASKPRICE-TR.BIDPRICE)/(TR.ASKPRICE+TR.BIDPRICE)'],
            {'SDate':'2010-01-01', 'EDate':'2015-12-31'})

If you just need the median of the series use:

ek.get_data('MSFT.O',
             '2*MEDIAN((TR.ASKPRICE-TR.BIDPRICE)/(TR.ASKPRICE+TR.BIDPRICE))',
            {'SDate':'2010-01-01', 'EDate':'2015-12-31'})
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Florian92 avatar image
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Thank you very much!! Ok, I see my mistake. I tried both of your suggestions but I get the same (daily) values for both requests. In the very end I am only interested in yearly median of my bid-ask spreads.I think I have to run each year separately right? Or is there any way to use lets say a five year period

  1. ek.get_data('MSFT.O',
  2. '2*MEDIAN((TR.ASKPRICE-TR.BIDPRICE)/(TR.ASKPRICE+TR.BIDPRICE))',
  3. {'SDate':'2010-01-01', 'EDate':'2015-12-31'})

which retrieves only the median value for each year (MSFT.O, 2010, XX; MSFT.O, 2011, XX; MSFT.O, 2012, XX....)?

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Alex Putkov.1 avatar image Alex Putkov.1

To get the annual median you either need to submit separate get_data request for the median for each year or you can retrieve the entire daily series and calculate the annual median using capabilities of pandas.

Florian92 avatar image Florian92 Alex Putkov.1

Ok, thats what I expected. Should not be a problem using pandas. Using your (corrected) expression above however still gives me dialy values even when using the MEDIAN operator. Do I need to specify frequency 1Y or "Yearly" as in Datastream somewhere?

Alex Putkov.1 avatar image Alex Putkov.1 Florian92

I'm not sure I understand. My original example that uses MEDIAN function in the field expression returns pandas dataframe with a single row, which contains the median for the daily series framed by the values of SDate and EDate parameters. It does not return daily series.

median.png (56.9 KiB)
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