How to get historical monthly open interest data in Eikon with Python API?

Question

Question by saad.ali · Nov 08, 2021 at 08:32 AM · eikon-data-api historical python api

How to get historical monthly open interest data in Eikon with Python API?

I used the following code as mentioned in this question

https://community.developers.refinitiv.com/questions/42502/what-is-the-best-way-to-retrieve-open-interests-da.html

but it gives daily data not monthly data. Is there any way to modify it somehow to retrieve monthly data?

Code:

df, e = ek.get_data('NGc1', ['TR.OPENINTEREST.Date', 'TR.OPENINTEREST'], {'SDate':'2011-01-01','EDate':'2020-12-31'})

df

Any leads will be highly appreciated. Thanks in advance.

0

10 |1500 characters needed characters left characters exceeded

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Answer 1 · 2021-11-08T09:17:55Z

REFINITIV

Best Answer

Answer by raksina.samasiri · Nov 08, 2021 at 09:17 AM

hi @saad.ali ,

You can add parameter 'Frq' to set the frequency of the data returned. Please note that M is used for monthly, Y=yearly, Q=quarterly, W=weekly, D=day

for example,

df, e = ek.get_data('NGc1', ['TR.OPENINTEREST.Date', 'TR.OPENINTEREST']
                    , {'SDate':'2011-01-01','EDate':'2020-12-31','Frq':'M'})
df

1636362911358.png (29.5 KiB)

1 · Share

10 |1500 characters needed characters left characters exceeded

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Answer 2 · 2021-11-08T13:30:04Z

Answer by saad.ali · Nov 08, 2021 at 01:30 PM

@raksina.samasiri Thanks a lot. It works :)

1 · Share

10 |1500 characters needed characters left characters exceeded

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

How to get historical monthly open interest data in Eikon with Python API?

2 Replies

Watch this question

Related Questions