How can we get historical data pricing including "Volume" in dollars and not in shares?

eugenelimtbc
eugenelimtbc Newcomer
in Refinitiv Data Platform

Hi,

We are using the .Net Core library "Refinitiv.Data.Content" (https://www.nuget.org/packages/Refinitiv.Data.Content/1.0.0-beta1). We are connecting to the eikon app, running in our computer, using the AppKey we generated in the Eikon.
How can we get historical data pricing including "Volume" in dollars and not in shares?

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    @eugenelimtbc

    The following request retrieves daily volume in shares, VWAP and turnover (or volume in monetary units) for the RIC IBM.N.

    string[] fields = { "ACVOL_UNS", "VWAP", "TRNOVR_UNS" };
    var response = Summaries.Definition("IBM.N")
                    .Fields(fields)
                    .Interval(Summaries.Interval.P1D)
                    .GetData();

    The list of fields available differs by instrument. As @nick.zincone said, you can retrieve all fields available for a given instrument by omitting the Fields method from the above.

Answers

  • nick.zincone
    nick.zincone admin

    Hi @eugenelimtbc,

    The Refinitiv Data Library for .Net creates a wrapper around the RDP HistoricalPricing endpoint. I don't believe the service provides a field for the Volume in dollars within the native response. You can actually see the all historical pricing fields available by simply leaving out the.Fields() specification in the request, i.e:

    response = Summaries.Definition("VOD.L").Count(2)
                                            .Interval(Summaries.Interval.P1M)
                                            .GetData();

    The response data will contain the values for all available fields within the response. To get a complete list of the field name, you can do this:

    Console.WriteLine($"Fields:\n{string.Join("\n", 
                 response.Data.Fields?.Select(f => $"\t{f.Name} ({f.Type})"))}");


    The library is only an interface to the backend service. I would suggest you contact the helpdesk if you want to better understand what data is available within this service.

  • eugenelimtbc
    eugenelimtbc Newcomer

    Hi @nick.zincone


    Thanks for your answer.

    So, how can we get historical data with volume in dollars? Is there some other endpoint, or can we get it from eikon api? Maybe we can calculate it somehow?

  • nick.zincone
    nick.zincone admin
    https://community.developers.refinitiv.com/discussion/comment/79182#Comment_79182

    Hi @eugenelimtbc,

    Are you talking about Market cap? Are you limited to using .Net? Many of the advocates on this forum can provide assistance when using the APIs and are not content specialists which is why I suggested reaching out to the helpdesk which can guide you of the calculation and/or where the data may live.

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