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jhonny avatar image
7 ●4 ●3 ●4

Unaligned time series fields

I extract multiple time series fields for an instrument in one query using `get_data`. I came across debt and equity RICs for which there are rows in the response where the fields' values refer to different dates. In other words, the data fields are not aligned based on their respective date.

I would not have expected this behavior and did not find any sort of documentation on this. Is this a glitch or is this how the API is supposed to work? In case of the latter, I would have to query the date for every individual field and perform a merge, which is far from ideal.

Thank you for your help!

para = {
    'SDate': '2013-01-01',
    'EDate': '2019-12-31',
    'DateType': 'AD',
    'CURN': 'EUR'
}
df, err = ek.get_data(['136447AW9='], ['TR.BIDPRICE.DATE','TR.BIDPRICE.VALUE','TR.MIDYIELD.DATE','TR.MIDYIELD.VALUE'], field_name=True, parameters=para)

As an example, I marked one line where this is the case.

The same applies to the following stock

df, err = ek.get_data(['BENE.F^L15'], ['TR.PRICECLOSE.DATE','TR.PRICECLOSE.VALUE','TR.ISSUEMARKETCAP.DATE','TR.ISSUEMARKETCAP'], field_name=True, parameters=para)
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3 Answers

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zoya faberov avatar image
32.2k ●40 ●11 ●20

Hello @jhonny,

I believe you are describing an inconsistency in Eikon content ((suspected), as returned by Eikon Data API.

I have tested the same request in Eikon Excel, and appear to observe the same results:

=TR("136447AW9=", "TR.BIDPRICE.DATE;TR.BIDPRICE.VALUE;TR.MIDYIELD.DATE;TR.MIDYIELD.VALUE","SDate=2013-01-01 EDate=2019-12-31 DateType=AD CURN=EUR",C6:F1800)


If the question is on Eikon content, if you suspect the content is incorrect, and not on API and retrieval, the best approach for a customer is to get this investigated by Refinitiv Helpdesk, select "I need help understanding content" for product "Thomson Reuters Eikon" and provide the complete details.

Let us know if this information helps.


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jhonny avatar image jhonny

Hi @zoya.farberov, thanks for your answer. I may misunderstand you, but let me emphasize that I am not challenging that the data values are correct. I am asking whether the structure of the API response above is expected. My problem with it is that when I query multiple time series fields, I expect that all fields' values for some date X appear in the same row. This is not the case in my example above: you see in the same row the BIDPRICE from 2019-12-15 and the MIDYIELD from 2019-11-21. My expectation was that I do not have to query the date parameter of the second field, MIDYIELD, once I already have the date for BIDPRICE. Had I only queried the date column for BIDPRICE, I would have assigned field values of MIDYIELD to the wrong date. I tend to view it as an API and not a data problem, because I would expect the API to deal with the fact that any two time series fields do not always have an observation for the same date. But I appreciate that I may be wrong depending on how your Databases work internally. If you are still convinced this is a content question, please tell me and I will forward this to the Helpdesk.

zoya faberov avatar image zoya faberov jhonny

Hi @jhonny,

I think I understand now better, where the disconnect is. There are more yields then bids between the dates, and they come disjointed as a result, each with it's own date?

Disclaimer- I am a developer, not a content expert.

There does not have to be bid on every date, if the market was not active, or the instrument was not active, there may be no BIDs or ASKs on that date. However, in my understanding, YIELD can still be updated on that date.

Therefore, I did not see any issue with the excerpt you have provided. But for definitive answers on content, I would still recommend Refinitiv Content Helpdesk, where you as a customer can tap into content expertise.

Does this help?

jhonny avatar image jhonny zoya faberov

I partly agree with you. I agree that from a content perspective, it is fine that there are gaps in daily time series. It is to be expected, depending on the security and which fields, that a subset of these queried fields may have gaps while another subset of queried fields do not have (the same) gaps. However, I disagree with you that this is not an issue. I had expected that either the API or the backend "pad out the data to ensure all the fields and dates align", as Umer put nicely. It is extremely important to know this behavior when using the API, otherwise I incorrectly assign data values to dates which can impact analyses materially. This is why I asked about behavior and stated that I am not challenging that the reported data is correct.

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umer.nalla avatar image
25.3k ●87 ●12 ●25

Hi @jhonny

Generally speaking, I would expect the backend to do the heavy lifting and fill any missing values on such a potentially large dataset (if possible) - rather than a Desktop API which is executed at the PC and therefore most likely not as efficient.

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jhonny avatar image jhonny

So my understanding is correct that this is an unexpected behavior?

umer.nalla avatar image umer.nalla jhonny

Hi @jhonny

I cannot say - as I don't know the backend process behind this particular type of data request. It could well be that when you request data fields that do not align, the backend process does not attempt to pad out the data to ensure all the fields and dates align? Eikon itself (and therefore Eikon Data API) relies on multiple data source and it would require an expert for a particular content set to confirm what is and what is not expected behaviour.

I have emailed the Content Helpdesk to reconsider their position that this is an API issue.

If you do not hear back soon please post on here.

jhonny avatar image jhonny umer.nalla

Thanks, I appreciate that you put my question into context and thanks to Zoya for her swift intervention.

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jhonny avatar image
7 ●4 ●3 ●4

Thank you for your answers,@zoya.farberov and @Umer Nalla. I received the following response from the Content Helpdesk stating that this is an API Issue and not a Content Issue. They instruct me to ask a question in this forum - although I provided them with the link of my actual question here. This has not been helpful.

Content Helpdesk response:

Checked this with our method of work and I was able to confirm that support for Python API is through the developers forums with hundreds of users per specific APIs and a handful of developers who monitor the same.

Please register and check the forum through the link below:

https://developers.thomsonreuters.com/

There's also a brief guide and an FAQ page via link below:

https://developers.thomsonreuters.com/eikon-com/eikon-desktop-data-api

From the first link I sent, there's a Question and Answer tab and we can search Python on the search box to bring up all Python related Forum pages. We can tweak our keywords to have an optimal search result.

On the Question and Answer page, there's a button on the upper left hand corner that lets us submit a Question via "Ask a Question" option. We can use the function to submit our API question and one of our developers will attend to it shortly. However, since this is a forum based help site, the turn-around time or service level is not guaranteed that it will be picked up within the day.

We are a Content related but I see in your query that the description is not a Content related

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umer.nalla avatar image   umer.nalla

have emailed JohnDominic.Sausa@refinitiv.com to escalate to correct content team and respond to the customer.

case 08590985

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