Missing Data for 6 RICs

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michaelberk99
michaelberk99 Explorer
in Eikon Data APIs

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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Best Answer

  • pf
    pf LSEG
    Answer ✓

    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)

    image


Answers

  • michaelberk99
    michaelberk99 Explorer 
    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):

    image

  • michaelberk99
    michaelberk99 Explorer

    Good call. Two images are attached:

    LG.png.zip

    RB.png.zip

  • zoya faberov
    zoya faberov ✭✭✭✭✭

    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.

  • michaelberk99
    michaelberk99 Explorer

    Ok thanks for the help Zoya!

  • michaelberk99
    michaelberk99 Explorer

    Hey @zoya.farberov - any movement on this?

  • michaelberk99
    michaelberk99 Explorer

    Ok thanks! Is there an estimate when this will be complete? This is blocking a product launch.

  • zoya faberov
    zoya faberov ✭✭✭✭✭

    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.

    image

    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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