Python code to retrieve historical point in time daily futures curve (replicate Eikon for Excel below)

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Question by greg.tyng · Dec 30, 2020 at 04:55 PM · python api get_data get_timeseries rics commodity futures

Python code to retrieve historical point in time daily futures curve (replicate Eikon for Excel below)

Python code to create this dataframe starting with row 10 (skip row 11)

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greg.tyng · Dec 30, 2020 at 06:49 PM 0

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For some reason the output does not match the date range?

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Answer 1 · 2020-12-30T17:59:00Z

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Answer by greg.tyng · Dec 30, 2020 at 05:59 PM

This one works...

contract = 'DCSc'

riclist = ["{}{}".format(contract, i) for i in range(1,13,1)]
print(riclist)

df = ek.get_timeseries(riclist,'close',
start_date='20140101',
end_date='20190401', interval='daily')

df.reset_index('Date', inplace=True)

df['Date'] = df['Date'].dt.strftime('%Y%m%d')
print(df)

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Python code to retrieve historical point in time daily futures curve (replicate Eikon for Excel below)

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