I want to download daily data (bid/ask prices and volumes e.g.) by broker as it can be seen in the web application when using the plattform "BROKER STATISTICS (NEW) BRKST" (Broker by Market or Broker by Symbol). I want to use Python through the "Eikon"-API and I got it to work in order for me to download data on individual stocks or forex data. (e.g. using "eikon.get_data")
In the end I want to aggregate the data by the classification of "retail broker" and "non-retail broker" using an existing definition. The resulting data set should have the bid/ask (weighted average) price and volume per day and per "broker type".
Could anyone tell me how to access bid/ask data by broker (and day/time window) via the Eikon Data API (Python)?
Thank you very much for your time and help!