Historical auction prices and indicative auction prices using Eikon Desktop API

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Question by lattanzi · Oct 27, 2020 at 10:51 AM · eikon eikon-data-api workspace python workspace-data-api refinitiv-dataplatform-eikon eikon-com-api c#

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?

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Answer 1 · 2020-10-28T09:16:52Z

REFINITIV

Best Answer

Answer by Jirapongse · Oct 28, 2020 at 09:16 AM

@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 · Nov 04, 2020 at 06:47 PM 0

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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!

Historical auction prices and indicative auction prices using Eikon Desktop API

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