I'd like to get a "Quotes" (best Bid and Ask , top of the book ) time series for a certain ric. For example with 1 minute time between the entries.
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Is it possible to get a time-series of "Quotes" intraday numbers?
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Thanks,
AHS
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The rdp,get_snapshot() function does not appear to be working for a desktop session- I will check if this is by design or a beta version issue.
In the meantime, you can use the StreamingPrices object to do the same e.g.
streaming_prices = rdp.StreamingPrices(universe=['EUR='], fields=['BID','ASK','ACVOL_1', 'OFFCL_CODE', 'ACTIV_DATE']) streaming_prices.open()
and then call the following as and when required:
streaming_prices.get_snapshot()
I believe the rdp.get_snapshot() targets the Refinitiv Data Platform API for snapshots, whereas the StreamingPrice is actually consuming streaming data, caching it behind the scenes and you can then snapshot the cached values as required.
There are different licensing requirements for using the RDP API
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You can get it using RDP Library. See Intraday Pricing Summaries examples in Jupyter notebooks 2.1.0 - 2.1.2 following the link below.
https://github.com/Refinitiv-API-Samples/Example.RDPLibrary.Python
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thank you for the quick reply,
I tried the following code, but the get_snapshot function returns 'None' , do you know why?
thank you!
eikon_key = 'dbxxxxxxxxxxxxxxxxxxxxxxxxxxxxxb' import refinitiv.dataplatform as rdp rdp.open_desktop_session(eikon_key) rdp.get_snapshot( universe = ['GBP=','JPY='], fields = ['BID','ASK'] )
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You can try this sample code:
import refinitiv.dataplatform as rdp
rdp.open_desktop_session('DEFAULT_CODE_BOOK_APP_KEY')
response = rdp.HistoricalPricing.get_summaries(universe = 'GBP=',
fields = ['BID','ASK'],
interval = rdp.Intervals.ONE_MINUTE)
display(response.data.df)
Please change DEFAULT_CODE_BOOK_APP_KEY to your appkey.
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this one works, thank you !
Is it possible to get the 1-minute-interval quotes for LCOc1 over 1 full past day ? (I seem to be able to get only the last few minutes)
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Also, is there any data amount limit with this API , like for the Eikon one?
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I can pull more than 1 full day data of LCOc1.
I believe that the same limitation as Eikon Data API would be applied to RDP Library.
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thanks, works now, the date format was wrong.
But the get_snapshot function still returns None. It is useful to me to obtain several rics with just one call.
Do you have some idea of the reason ?
Do you have some alternative way to obtain multiple rics quotes time series with just one call ?
thank you
If you're looking to get intraday timeseries for multiple RICs, there's no way to do this currently. If you're looking to get a snapshot of current market data for multiple RICs, that's possible using get_data method of Eikon Data APIs. RDP Library includes module named Eikon, which provides all the functionality available in Eikon Data APIs library.
import refinitiv.dataplatform as rdp
import refinitiv.dataplatform.eikon as ek
rdp.open_desktop_session('MY_APP_KEY')
df, err = ek.get_data(['EUR=','GBP='],['BID','ASK'])
df
