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programs.office avatar image
1 0 1 1

Eikon Data API (Python) - Bid/Ask price and volume by broker and day

Hello,

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!

eikoneikon-data-apipython
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Shadab Hussain avatar image
864 4 2 8

Hi @programs.office,

I just found a way around using estimates, but please note that this will only work for those RICs for which data is available, and it will not work for every RIC:

import refinitiv.dataplatform.eikon as ek

ek.set_app_key('DEFAULT_CODE_BOOK_APP_KEY')
df, err = ek.get_data(["AAPL.O"],fields=["TR.EPSEstValue.BrokerName", "TR.OPENPRICE", "TR.CLOSEPRICE", 'TR.HIGHPRICE', 
        'TR.LOWPRICE', 'TR.VOLUME', 'TR.EPSEstValue.Date'], parameters = {'SDate':'2022-04-01','EDate':'2022-04-11','Curn':'USD', 'Frq':'D'})


Let me know if this is helpful and if this is what you were looking for

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Shadab Hussain avatar image
864 4 2 8

Hi @programs.office,

Hope you are doing well and having fun using Eikon,

Regarding your query, I connected with the support team and product specialist and they confirmed that broker statistics data is only available via the Eikon desktop. Since API works similarly to Eikon excel, we need to have the data items in order to pull the data. The financial modelling team have confirmed that they are unable to pull it in Eikon excel it would be the same case in Eikon API.


You may wait for some expert developers to get an answer if there is a workaround given but I am not so sure since we do not have the data item to pull the data as well as the identifiers to use. In order for us to pull the data in Eikon excel or in API, we do need the ISIN, RIC or similar identifiers


Also as this forum is dedicated to software developers using Refinitiv APIs and the moderators on this forum do not have deep expertise in every bit of content available through Refinitiv products, which is required to answer content questions such as this one. The best resource for content questions is the Refinitiv Helpdesk, which can be reached by either calling the Helpdesk number in your country or submitting a new ticket to the support team via MyRefinitiv.

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