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vps_2021 avatar image
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Eikon Data API - historical option data per minutes (get time series on option data)

Hi, I am working on retrieve option historical data similar to what get time series function returns. Is there any way to do that?

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jonathan.legrand avatar image jonathan.legrand

Hi @vps_2021,

Would you have an example RIC/ISIN for such an Option in question? Also: would you have an example field (e.g.: TR.CLOSEPRICE) - or are you only just after HIGH, CLOSE, LOW, OPEN, COUNT & VOLUME?

vps_2021 avatar image vps_2021 jonathan.legrand

I am checking '/NDXf182150000.U' but actually wish to get data for entire option chain in history

1. Daily Historical option data (i.e. TR.CLOSEPRICE, TR.BIDPRICE, TR.ASKPRICE, GREEKS, UNDERLYING INFO, VOLUME etc)

2. Recent month or week historical time series to minute or second on entire option chain on HIGH, CLOSE, LOW, OPEN, COUNT & VOLUME,BID/ASK

Alex Putkov.1 avatar image   Alex Putkov.1

@vps_2021

Thank you for your participation in the forum. Are any of the replies below satisfactory in resolving your query? If yes please click the 'Accept' text next to the reply that best answers your question. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.

Thanks,

-AHS

Jirapongse avatar image   Jirapongse

@vps_2021

Hi,

Please be informed that a reply has been verified as correct in answering the question, and marked as such.

Thanks,

AHS

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Alex Putkov.1 avatar image
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@vps_2021

I'm afraid some of the timeseries data you're interested in is not available. To see what's available from RDP Historical Pricing service in daily and 1 minute aggregation try the following requests using RDP Library:

#Daily
rdp.get_historical_price_summaries('NDXf182150000.U', interval='P1D')
#1 minute
rdp.get_historical_price_summaries('NDXf182150000.U', interval='PT1M')

RDP Historical Pricing service allows only 1 RIC per request. To retrieve the timeseries for all options in the chain you'll need to execute separate rdp.get_historical_price_summaries call for each option.

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