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michaelberk99 avatar image
11 ●3 ●5 ●5

get_timeseries() pulls intraday data even if interval is daily

We have developed python code that pulls daily oil and natural gas data every Thursday. However, a couple of weeks ago, the code started pulling intraday data before the market closed. This had not occurred before and caused some problems with our content.

The dummy example below pulls intraday values for Thursday. However, in prior reports, the Thursday's intraday was not pulled. Nothing changed on our end including the run time, which is usually around 9:30 AM EDT.

# current date/time is 2020-10-8 9:30:00 EDT (this pulls intraday data for 10-8)
df = ek.get_timeseries('NHV21', start_date='2019-01-01', end_date='2020-10-8 9:30:00', interval=interval)

As the default interval is "daily", one would expect that the data pulled would be from 2019-01-01 - 2020-10-7 (omitting Thursday's intraday print).

Could you clarify whether interval='daily' will only pull daily settles? Or will it pull daily settles until the most recent day, then simply pull the most recent quote?

Finally, was there a change made to the API that would explain this behavior? Again, none of the code on our end was changed.

Thanks in advance.

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wasin.w avatar image   wasin.w

Hello @michaelberk99

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question.

Thanks,


AHS

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Gurpreet avatar image
22k ●58 ●14 ●21

Hi @michaelberk99, Your RIC NHV21 seems to be invalid, but I can replicate this behavior with other instruments.

ek.get_timeseries('IBM.N', start_date='2020-10-01', end_date='2020-10-09T09:30:00', interval='daily')

To get clarification on the data content, I would suggest that you raise a ticket with Refinitiv helpdesk and select "I need help understanding content in a product".


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michaelberk99 avatar image michaelberk99

Thanks for the answer! The RIC was a typo - I meant to use NGV21 in the above example. And noted I'll open the ticket now.

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