question

Upvotes
Accepted
87 10 13 14

Discovering historical price series using Refinitiv API

We are currently working on replacing the Eikon Desktop API (.NET) with the new Refinitiv API (RDPLibrary.DotNet).

The Eikon API had a way to let us discover which historical series data fields are available in which periodicity (trades / intraday summarized / interday summarized). The Eikon API called this "views". Our Application allows end users to pick whatever view is available for charting purposes, so we need a way to discover what's available.

We are now looking to implement this approach using the new set of APIs. In Refinitiv Workspace, there is an App called "Data Item Browser" which lets you enter a RIC and show you all realtime / static / history fields available (including the huge set of TR.xxx views). How can we utilize the new API to discover / search all these available historical series in a similar way for a given RIC?


rdp-apirefinitiv-data-platform
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such. Thanks, AHS


Hello Chavalit,

I do not agree that my question was answered.

Apparently my question was misunderstood, so I try to put it differently:

Using the RDP API (and I do not care very much about which underlying Session is used, as our customers may rely on any of the three methods), how can one access the same thousands of historic timeseries fields that are accessible via Refinitiv Workspace's Data Item Browser?
If they are currently not available, are there plans to make them available?

Upvotes
Accepted
32.2k 40 11 20

Hello @GoGoGroundhog,

Yes. Largely. Even though DesktopSession acts as proxy, the underlying data will still come from RDP service -> Historical Pricing -> Interday Summaries or Intraday Summaries.

Consequently, the fields available are the fields that are included with the service, for instance, right now by not specifying fields to Interday, I observe the following potentially available fields:

"DATE TRDPRC_1 MKT_HIGH MKT_LOW ACVOL_UNS MKT_OPEN BID ASK TRNOVR_UNS VWAP MID_PRICE PERATIO ORDBK_VOL NUM_MOVES IND_AUCVOL OFFBK_VOL HIGH_1 ORDBK_VWAP IND_AUC OPEN_PRC LOW_1 OFF_CLOSE CLS_AUCVOL OPN_AUCVOL OPN_AUC CLS_AUC INT_AUC INT_AUCVOL EX_VOL_UNS ALL_C_MOVE ELG_NUMMOV NAVALUE"

For intraday they are:

"DATE_TIME HIGH_1 LOW_1 OPEN_PRC TRDPRC_1 NUM_MOVES ACVOL_UNS HIGH_YLD LOW_YLD OPEN_YLD YIELD BID_HIGH_1 BID_LOW_1 OPEN_BID BID BID_NUMMOV ASK_HIGH_1 ASK_LOW_1 OPEN_ASK ASK ASK_NUMMOV MID_HIGH MID_LOW MID_OPEN MID_PRICE"

I hope this helps

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Thanks Zoya,

does that mean that there is no access possible via the Refinitiv Data Platform API for the wealth of extended historic timeseries data prefixed with "TR." (e.g. "TR.PriceClose", "TR.TotalReturn", "TR.TSVWAP", ...)?

Or does one need to access a specific service?




Hello @GoGoGroundhog,

Some of this content you will be able to request via RDP libraries as of now. For instance, I am not a content expert, but seems that OFF_CLOSE via Historical Pricing - Summaries, i.e. Official Close price, should be the same as "TR.PriceClose", or if you look at HistoricalPricing - Events, you will be able to request VWAP. RDP services and RDP libraries are actively developed now and the offerings will continue to grow.

To request it exactly as per Eikon Desktop API (.Net), in my understanding, one can use either Eikons Desktop API .Net or Eikon Data API Python.

Upvotes
32.2k 40 11 20

Hello @GoGoGroundhog,

RDP Libraries allows to integrate via 3 types of sessions, DesktopSession, PlatformSessions nd DeployedPlatformSession.

See RDP Libraries Intro for info.

I think your question is about PlatformSession usage, to access RDP history intra-day and inter- day with Refintiiv Data Platfrom.

If this is the case(?), you are interacting with RDP Historical Pricing services underneath. The best source of information, in my opinion, is API Playground -> Historical , search for Historical. and examine the service.

Note you will need to login with your RDP human-use creds, login and password.

Note, via API Playground-> Hisotrical Pricing->Reference, that by not specifying the fields into request you get back all fields. This way you will be able to explore what fields are available, via Swagger, skip the fields spec.

Another good feature is, if you specify a mix of valid and invalid fields, you should get back the valid fields only, the request does not fail entirely.

Hope this helps?

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
87 10 13 14

Thanks for your reply, @zoya.farberov

My understanding was that it should actually not matter what kind of session you connect to, the results should be transparent and identical, please correct me if I am wrong.

Actually in my tests so far I was using DesktopSession for historical price series and DeployedPlatformSession for realtime streaming prices.

I know that I can get the stock fields like TRDPRC_1, BID, ASK etc. when issuing a HistoricalPricing.GetSummaries() request (like in the DotNet_Examples project 2.0.0 - HistoricalPricing - Summaries). E.g. when doing a P1D request for DTEGn.DE with no fields specified with SessionType = SessionTypeEnum.DESKTOP, and WithCount(1), I get these 20 headers:

DATE, OFF_CLOSE, HIGH_1, LOW_1, ACVOL_UNS, OPEN_PRC, BID, ASK, TRNOVR_UNS, VWAP, PERATIO, INT_AUC, NUM_MOVES, OPN_AUC, CLS_AUC, CLS_AUCVOL, OPN_AUCVOL, INT_AUCVOL, NAVALUE, OFFBK_VOL.

Using the Data Item Browser in Refinitiv Workspace, I get a huge list, possibly thousands of timeseries fields.

My question is how to discover and access these items programmatically (histories, and if possible, streaming prices) via the Refinitiv Data Platform API (ideally independent of the kind of session).

We are specifically interested in providing access to all historic fields prefixed with "TR." (e.g. "TR.PriceClose", "TR.TotalReturn", "TR.TSVWAP", ...).

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.