How do I get the components of CHFFWD=?
Hi, I need to get all the components of CHFFWD= (including but not limited to CHFON, CHFTN, CHFSW, CHF1M...) and their BID and ASK values.
The following code
data, err = ek.get_data(instruments=["CHFFWD="], fields=['BID', 'ASK'])
Throws an error. What am I missing?
Thank you
Best Answer
Hi @mi.v.
Please read the chain data structure section in this article.
Here is the sample code:
LONGNEXTLR = 'CHFFWD='
fields = ['LONGLINK{}'.format(x) for x in range(1, 15)]
fields.append('LONGNEXTLR')
all_components = []
while LONGNEXTLR!='':
df,e = ek.get_data(LONGNEXTLR,fields)
LONGNEXTLR = df.iloc[0]['LONGNEXTLR'] if pd.notnull(df.iloc[0]['LONGNEXTLR']) else ''
for x in range(1, 15):
currentField = 'LONGLINK{}'.format(x)
all_components.append(df.iloc[0][currentField]) if pd.notnull(df.iloc[0][currentField]) else None
df,e = ek.get_data(all_components,['BID','ASK'])
df
Output:
