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lattanzi avatar image
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Historical auction prices and indicative auction prices using Eikon Desktop API

I am using the "COM APIs for use in custom applications" resp. the EikonDesktopDataAPI from C# through the ThomsonReuters.Desktop.SDK.DataAccess.Signed library (a nuget package).

It's working quite fine for symbol searches, real-time level-1 data, and historical data (for regular hours trades and quotes).

What I need now is to get historical Auction prices and volumes for the opening and closing auctions and also historical Auction Indicative prices and volumes.

Is there a way to get this information using the mentioned library?

eikoneikon-data-apipythonrefinitiv-dataplatform-eikonworkspaceworkspace-data-apieikon-com-apic#
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1 Answer

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Jirapongse avatar image
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@lattanzi

First, you can check with the RHistory function in Eikon Excel to verify if there is any view (Category) in Rhistory which can provide the required data.

You may directly contact the Eikon support team via MyRefinitv to verify it.

If the data can be retrieved by the RHistory function, the same data can be retrieved by ITimeSeriesDataService.



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lattanzi avatar image lattanzi

Thank you for your hints.

Using your recommendation, we were able to find out that we are only able to get the historical auction prices and volumes, NOT the indicative prices and volumes, unfortunately.

Thank you!