Bug in Excel RHistory interface
I run two time series requests, that should return identical data, but unfortunately they don't and it looks like there is some bug how the data is aggregated during the request.
This is code snippet 1 for replication:
=RHistory("AAPL.O","TRDPRC_1.Timestamp;"&"TRDPRC_1.Open;"&"TRDPRC_1.High;"&"TRDPRC_1.Low;"&"TRDPRC_1.Close;"&"TRDPRC_1.Volume","START:04-Nov-2019:10:00 END:04-Nov-2019:16:30 TIMEZONE:NYC TRADETIME:NO INTERVAL:30M",,"TSREPEAT:NO CH:Fd")
… and code snippet 2:
=RHistory("AAPL.O","TRDPRC_1.Timestamp;"&"TRDPRC_1.Open;"&"TRDPRC_1.High;"&"TRDPRC_1.Low;"&"TRDPRC_1.Close;"&"TRDPRC_1.Volume","START:04-Nov-2019:10:00 END:04-Nov-2019:16:30 TIMEZONE:NYC TRADETIME:YES INTERVAL:30M",,"TSREPEAT:NO CH:Fd")
The only difference between the two snippets is the parameter TRADETIME:YES and NO. This particular example only looks at a single trading day within trading hours (I am aware of the general purpose of the TRADETIME parameter, even if that example makes no use of it, really).
If I compare results, prices are marginally different but volumes are significantly different (see image)!
Why is that?
The response I received from the Helpdesk:
"TRADETIME:N includes Odd Lot trades, and thus will reflect more trades. Odd Lot trades are NOT included in Trade Time Y, as Odd Lots do not update high, low, last or close. Only Volume for the day."
Hi @sdittmar
RHistory is part of Eikon Excel product.
You can report this issue to Refinitiv Helpdesk.
The Refinitiv Helpdesk can be reached using Contact Us capability in your Eikon application.
Or by calling the Helpdesk number in your country.
Or at https://my.refinitiv.com/