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What is the best way to get a list of fields for a list of instruments for a historical date range with get_data?
Let's say I want to get around 500 fields for around 4000 instruments (stocks) for about 20 year (SDate = 2020-01-01). Given the multiple limits I cannot just use
get_date(instrument, fields, {'SDate': '2000-01-01', 'EDate': today_as_string})
as this will give all kinds of errors / limits breaching.
Currently I will chunk the instruments 50 at a time, select 1 field and query for the full date range.
dfs = []
for field in fields:
for instruments_chunk in split_list(instruments, max_items_in_list=50):
df = ek.get_data(instruments_chunk, [field + 'date', field], {'SDate': '2000-01-01', 'EDate': today_as_string})
df.rename(columns={df.columns[1]: 'date'}, inplace=True)
df['date'] = pd.to_datetime(df['date']).dt.date.astype('datetime64')
dfs.append(df)
final_df = pd.concat(dfs)
Although this works it is very slow and will take several days to complete.
Is there a better solution to this kind of problem?
Eikon data api is not geared towards this kind of use. Refinitiv offers Datascope and Tickhistory products which can provide very granular data for a wide range of instruments. Please contact your Refinitiv account manager for getting access to these products.
