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TR.OPENPRICE, TR.HIGHPRICE, TR.LOWPRICE, TR.SETTLEMENTPRICE returning NaN for ESU0

Using this line of code:

df, err = ek.get_data(['ESU0'],
                      ['TR.SETTLEMENTPRICE.DATE', 'TR.OPENPRICE', 'TR.HIGHPRICE', 'TR.LOWPRICE', 'TR.SETTLEMENTPRICE',
                       'TR.ACCUMULATEDVOLUME', 'TR.OPENINTEREST'],
                      {'SDate': "01/01/2006", 'EDate': "12/31/2020", 'Frq': 'd'})

returns many NaN entries for Open, High and Low on dates where there is a Settlement price and volume & OI. Settlement price for most recent traded day (18 Sep 2020) is also NaN.

eikoneikon-data-apipythonworkspacerefinitiv-dataplatform-eikonworkspace-data-apihistorical
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18.1k 21 12 20

Hi @nrowe

I checked on 2 fields, TR.SETTLEMENTPRICE and TR.OPENPRICE

TR.SETTLEMENTPRICE has the data from 2019-06-24 (Seems to be 15 months from today)

TR.OPENPRICE has the data from 2019-09-24 (Seems to be 1 year from today)


You can clarify the content behavior with Refinitiv Helpdesk by submitting a ticket at my.refinitiv.com/


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@nrowe

It's not uncommon to have open, high, low, close prices missing at the beginning of the contract life cycle when trading is thin. Settlement price is calculated and published at the end of every trading day regardless of whether there were any trades in the contract. The non zero volume indicates that there were trades on that day, but even on the days with non zero volume open, high, low, close prices may be missing. Not all trades are summarized into open, high, low, close bars. Certain trades are excluded from this summarization. If on a given day the only trades that occurred were the ones that are excluded from open, high, low, close summarization, then for that day you'll have non zero volume, yet open, high, low, close prices will be null. One example of this that you can examine is ESM1 that on 17-Aug-2020 had one special trade that was excluded from open, high, low summarization. The value of TR.ACCUMULATEDVOLUME for ESM1 on 17-Aug-2020 is 1. Yet the values of TR.OPENPRICE, TR.HIGHPRICE, TR.LOWPRICE and TR.CLOSEPRICE are NULL. If you look at the intraday price history for ESM1 in Eikon Time & Sales app for 17-Aug-2020, you'll see a single trade for that day with the trade volume of 1. This trade is marked in the Trade Flags column as "Special Trades".
This said, if you believe open, high, low, close prices are missing improperly for some dates and contracts, could you provide a specific example, so we could look into it?

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