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Tulkkas avatar image
37 ●5 ●7 ●12

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


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3 Answers

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jason.ramchandani01 avatar image
7.5k ●10 ●6 ●8

@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.

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Tulkkas avatar image
37 ●5 ●7 ●12

@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

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Tulkkas avatar image
37 ●5 ●7 ●12

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

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