Using the MarketSession parameter in RDP HistoricalPricing endpoint

MF
MF LSEG
in Refinitiv Data Platform Libraries

Hello team,

I am trying to retrieve HistoricalPricing events using rdp.HistoricalPricing.get_events and I would like to specify the MarketSession, but I am getting an error,

Can you please help me build this request?

Thank you for your help


image

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @mahjoub.faraj

    The get_events method in the RDP library doesn't have the sessions property. However, you can directly send a request to the /data/historical-pricing/v1/views/events/ endpoint to get the data.

    import pandas as pd
    endpoint = rdp.Endpoint(
        session = rdp.get_default_session(), # Optional
        url = "/data/historical-pricing/v1/views/events/VOD.L")
    response = endpoint.send_request(
        method = rdp.Endpoint.RequestMethod.GET,
        query_parameters={
            'eventTypes': 'trade',        
            'start': '2021-03-15T00:00:00.000000000Z',
            'end': '2021-03-16T00:00:00.000000000Z',
            'sessions': 'normal'
        }
    )
    if response.is_success:
        headers = [h['name'] for h in response.data.raw[0]['headers']]
        df = pd.DataFrame(data=response.data.raw[0]['data'], columns=headers)
        display(df)

Answers

  • umer.nalla
    umer.nalla LSEG

    Hi @mahjoub.faraj

    Looking at the help for the Historical Pricing, the sessions parameter is only valid with summaries data e.g.

    rdp.get_historical_price_summaries(
        universe = 'IBM.N', 
        interval = rdp.Intervals.ONE_MINUTE,    
        count = 500,
        sessions = [
            rdp.MarketSession.PRE, 
            rdp.MarketSession.NORMAL, 
            rdp.MarketSession.POST
        ]
    )

    or

    response = rdp.HistoricalPricing.get_summaries(
        universe = 'IBM.N', 
        interval = rdp.Intervals.ONE_MINUTE,    
        count = 500,
        sessions = [
            rdp.MarketSession.PRE, 
            rdp.MarketSession.NORMAL, 
            rdp.MarketSession.POST
        ]
    )  
  • MF
    MF LSEG

    Thank you both for your answers!

    @umer.nalla : the reference reads: "The sessions parameter represents a list of interested official durations in which trade and quote activities occur for a particular universe. The parameter is only available in intraday-summaries, events and single-event APIs and its possible values include"

    I expect the feature to be available in the events api...


    @Jirapongse

    I tried your code and it works well! Thanks for that

    That said, the python library suggest the feature (should) exist: a session parameter shows in the auto suggest as well as the sessions values enumerator.image

  • umer.nalla
    umer.nalla LSEG
    https://community.developers.refinitiv.com/discussion/comment/75191#Comment_75191

    Hi @mahjoub.faraj

    Thanks for the update. I was referring to the help output for the RDP library Historical Pricing Contents and Function Layers that I assumed you wanted to use. e.g.

    get_events(universe, session=None, eventTypes=None, start=None, end=None, adjustments=None, count=None, fields=None, on_response=None, closure=None)

    OR

    get_historical_price_events(universe, eventTypes=None, start=None, end=None, adjustments=[], count=1, fields=[], on_response=None, closure=None)

    Just to clarify, the session parameter in the above list is the 'connection session' e.g. platform session or desktop session - not sessions

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