How to go about retrieving historical data
I have been working on the RFA C# API from Reuters, and specifically, I have been building upon the examples provided in rfanet8.0.0.L1.win.rrg/Examples/StarterConsumer, to retrieve real-time data.
How can I retrieve historical data for equity, commodity, and FX?
Is there another package that I need to install for this?
I would prefer to use Python 3.3, if there is an API available for it. Otherwise, C# is fine.
Thanks!
RFA and other TREP APIs(EMA, UPA etc) support only Time Series One(TS1) data. TS1 provides access to historical data distributed via Elektron data feed. It provides a range of facts (such as Open, High, Low, Close) for the equity, money, fixed income, commodities and energy markets. TS1 data is available in three frequencies; daily, weekly, and monthly. For daily data there is up to two years worth of history, for weekly data there is five years, and for monthly data up to ten years.
To request TS1 data using RFA.NET, you don't need to install additional package. You have to use TS1 interfaces from TS1 library(TS1_NET<VS Version>_64.dll provided in folder Libs) to parse the TS1 data. You can find more details about TS1 and RFA.NET interfaces from TS1 Reference Manual(TS1Data.pdf) and TS1 Developer Guide(TS1_DevGuideNET.pdf).
You may also try StarterConsumer_TS1 example which demonstrates how to request and parse TS1 historical data from TREP-RT. Please find the description of the example from README file locates in the same folder.
Regarding to API for python. Currently we don't have TREP API which support python.
From what I know, the Elektron Feed Product Manager has cancelled the DNDN082484 as they have postponed the IDN TAS/TS1 sunset. The plans to launch an Elektron Time Series service for API consumers are on hold and they don't have committed timescales.
Judging that you are on the desktop using C# I would suggest asking for access to the Eikon Scripting APIs (EAP) - that include Python access to historical data.
For immediate production use one has to look at DataScope Select or Tick History as a web service for accessing historical data, these are marketed under the Elektron Data Solutions umbrella.
Longer term but not available on early-access so far is Elektron Time Series, this will be available through the Elektron SDK and RFA APIs.
