Upgrade from Eikon -> Workspace. Learn about programming differences.

For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
37 6 10 13

Download historical volume for (continuation) Futures with Eikon API

Hi, I am looking to download close,high,low, open and volume for a continuous futures chain, historically. I am using the Eikon API 'get_data' function with parameters equal to the start and end dates of my period.

Example RIC - EScv1, which is the SP500 mini.

Unfortunately I am not able to obtain data for Volume, I used the fields TR.Volume and the CF_Volume fields but none of them worked. I do not get any historical data for volume.

I get everything else (Close, Open, Low, High) by using the correct field...

Would anybody have an idea?

Thank you


eikoneikon-data-apipythonrefinitiv-dataplatform-eikonworkspaceworkspace-data-apifutures
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
Accepted
10.1k 18 6 9

@Tulkkas try using TR.ACCUMULATEDVOLUME for the historical volume. You can check all fields available for any RIC using the Data Item Browser App (type DIB into eikon search bar) - this also gives values if you type in an instrument - so its easy to zero in on exactly what you want, I hope this can help.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
37 6 10 13

@jason.ramchandani, thank you, I will try that! Thanks for the tip with the DIB - indeed, that is how I came up with trying the CF_Volume field. I will let you know if it worked

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvote
37 6 10 13

@jason.ramchandani - it worked, thank you very much!

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.