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michaelberk99 avatar image
11 ●3 ●5 ●5

Missing Data for 6 RICs

I am creating 5-minute charts for the following RICs: NGN20, CLN0, LCOQ0, RBN0, HON0, LGON0. I am using the python data API on a mac computer. All have missing data. I'd also love to attach images that are readable, but the forum data limit doesn't permit that (I've literally tried for the past 30 minutes). If you provide a link I can send the images. Below are the issues I've noticed with the data.

  • NG and CL have missing data prior to 10:00 PM.
  • For the other 4 RICs, there appears to be a similar 10:00 PM gap, with much more missing data in the middle of the night.

When created using the excel plugin, none of the graphs have missing data. What's going on?

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zoya faberov avatar image   zoya faberov

Hello @michaelberk99,

Thanks for letting us know.

I guess that what you are running into, is there is a 2 image limit per submitted item.

Would you mind pasting the complete request that you run, and also attaching only two images to this question, and perhaps if there is more then two images, making a comment or an answer and attaching more, so we can see them all?

Thanks,

-AHS

michaelberk99 avatar image michaelberk99 
startDate, endDate = '2020-06-14 18:00:00', '2020-06-15 18:00:00' 
interval = 'minute' 
for c in ['NGN20', 'CLN0', 'LCOQ0', 'RBN0', 'HON0', 'LGON0']:
    df = ek.get_timeseries('LGON0', start_date=startDate, end_date=endDate, interval=interval) 
    print(min(df['DATE']) # 10:00 PM, not the time specified

Error for one image (the images aren't huge either):

zoya faberov avatar image   zoya faberov

<AHS> This under investigation with product, extending triage

3 Answers

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pierre.faurel avatar image
4.3k ●2 ●4 ●5

Hi,

Missing data is also visible with RHistory function.

You see missing data only with get_timeseries because there is a mismatch with startDate/endDate compare to RHistory function.
The reason is RHistory takes time as local whereas get_timeseries takes it as UTC.

To see same missing data with RHistory, try with endDate="16-Jun-2020:23:00" :

15/06/2020 22:58 1.674 9 1.675 1.674 1.675 24
15/06/2020 22:59 1.675 25 1.675 1.673 1.674 86
15/06/2020 23:00 1.673 13 1.675 1.673 1.675 61
16/06/2020 00:01 1.673 31 1.675 1.671 1.673 82
16/06/2020 00:02 1.67 40 1.673 1.67 1.673 91

To align results from both requests, you need to modify your script or RHistory parameter.

  1. RHistory parameter : add "TIMEZONE:UTC"
  2. get_timeseries script
    If you convert date values (considered as local) to UTC, then call get_timeseries, then convert date index from UTC to local, result will match with RHistory one :
from dateutil import tz, parser
 ... 
startDate, endDate = '2020-06-15T21:00:00', '2020-06-15T23:00:00' 
UTC = tz.gettz('UTC') 
startDate = parser.parse(startDate).astimezone(UTC) 
endDate = parser.parse(endDate).astimezone(UTC) 
interval = 'minute' 
for c in ['NGN20', 'CLN0', 'LCOQ0', 'RBN0', 'HON0', 'LGON0']: 
    df = rdp.legacy.get_timeseries(c, start_date=startDate, end_date=endDate, interval=interval) 
    df.index = df.index.tz_localize(UTC) 
    df.index = df.index.tz_convert(tz.tzlocal()) 
    print(df)



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

Hello @michaelberk99,

I am not a content expert, but it does not appear to me that any data is missing.

Let me try to explain my thinking on this.

06/14 was a Sun. Was no trading, and is about 10:00 is when trading has started, given GMT and the difference is time zone.

To give an example, if you put into date range

startDate, endDate = '2020-06-11 18:00:00', '2020-06-12 18:00:00' 

You should see the complete interval populated

Then, if you try

startDate, endDate = '2020-06-12 18:00:00', '2020-06-13 18:00:00' 

You will not see the end, because it was Fri, and the trading has ended

Then for 

startDate, endDate = '2020-06-13 18:00:00', '2020-06-14 18:00:00' 

There is nothing, it's Sat and Sun, no trading.

For

startDate, endDate = '2020-06-14 18:00:00', '2020-06-15 18:00:00'

The beginning of the range is missing, no trading on Sun, only on Mon, given the correction for Timesone.

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

Hi @michaelberk99,

We have received the confirmation on the validity of the content you observe from our content experts.

For example, NGN20 is one of NYMEX Natural Gas Commodity Futures from the page <NYM/NG>

The trading hours for this instrument are from 18:00 to 17:15 EST.

In UTC time, it is 22:00 - 21:15, so prior to 22:01 there is an interval of time with no prices, driving the correlated gap in charts.

Would like to add, for questions on Refinitiv content, as a customer, the best approach to get them answered is to contact Refinitiv Content Helpdesk Online directly, or call your local Refinitiv Helpdesk.


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