pull historical implied vol in python eikon api

jian.lu
jian.lu Newcomer
in Eikon Data APIs

hi, i have been looking up similar thread here, find out there is no a mapping features in eikon.get_timeseries() api for excel query: RHistory("AAPLATMIV.U","NDA_RAW.Nda_date;NDA_RAW.Nda_d30_atm_iv_call","START:18-Jun-2018 NBROWS:3 INTERVAL:1D") back to 2018, i.e., those special field beside default values. Wonder if there is any updates on the latest eikon version that can replicate above excel query? if not, wonder if there is a work around to use eikon.send_json_request() directly?

thanks.

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    @jian.lu

    You can retrieve more fields using Refinitiv Data Platform Libraries:

    rdp.get_historical_price_summaries('AAPLATMIV.U ')

    We're still building the documentation for these libraries here on this portal. In the meantime you can find examples of using this library in Codebook under Examples/02 - Refinitiv Data Platform Library.

Answers

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @jian.lu

    From my checking, the eikon.get_timeseries() method returns the historical 30 Day Atm Im Call.

    However, its values are equal to D30_ATM_IN_CALL.

    image

    You need to contact the Eikon support team via MyRefinitv to verify the data.

    As I know, currently, there is no function in the Eikon Data API that can fully duplicate the RHistory method and there is no workaround with eikon.send_json_request().


  • jian.lu
    jian.lu Newcomer

    jirapongse, just wonder if we could request the development team to expand timeseries function with more field to cover more historical data?

  • jian.lu
    jian.lu Newcomer

    @Alex , awesome. thanks a lot!

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