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Hitorical intraday data for indces

Hi guys,

I am about to write my master thesis. For that, I need following data with 5-minute interval,

- STOXX Europe 600 Banks (SX7P)

- STOXX Europe Banks (SX7E)

- Dow Jones U.S. Banks Index (DJUSBK)

- S&P Banks Select Industry Index (SPSIBK).

They have to be from Jan. 1st, 2017. As I tried it before, I could find nothing. It could be also possible that I made a mistake during the search for that. So I wanna ask you, whether such data is available here in Eikon. If yes, could you also tell me, how I can get that data?

Thanks!

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Hello @kck2357,

A disclaimer: I am not a content expert.

Your request is valid.

To my best knowledge, intraday timeseries database that is referenced by Eikon data API stores 1 year of history.

ek.get_timeseries('.SX7P', start_date='2021-06-25T00:00:00',end_date='2021-06-28T23:00:00',interval='minute')

This returns a valid result on my side:

validres.gif

However, when I move beyond one year:

ek.get_timeseries('.SX7P', start_date='2021-05-25T00:00:00',end_date='2021-05-28T23:00:00',interval='minute')

I observe:

EikonError: Error code -1 | .SX7P: No data available for the requested date range | 

So the response, per your request, is as expected.

If your request interday data, for example:

ek.get_timeseries('.SX7P', start_date = '2017-01-01T09:00:00', end_date='2017-01-15T18:00:00',  interval="daily")

You should see the results for 2017:

res2017.gif

If your requirement is specific for 5-min bars, and beyond 1 year depth, to obtain access to the required content via API you may need a different product.

For instance, the complete raw tick history, as well as intraday bars, the aggregations, for extended period of time (2017 included) is available from Tick History product (TickHistoryIntradaySummaries), accessible via Tick History REST API.

I suggest to directly verify your specific content requirements and availability with Refinitiv content support experts


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Hi @kck2357 ,

In my understanding, creating master thesis implies extensive learning and doing relevant research for your master thesis. For data-intensive research, this usually means identifying the sources of data that you require and learning to work with API(s) to obtain the data.

You are looking to implement your requirements for thesis with Datastream API, is my understanding correct?

Have you had a chance to visit Datastream Web Service API area on dev portal to learn about using Datastream API:

1. Work through Datastream Web Service Quickstart ?

2. Select your language of implementation from the available options per Datastream Documentation -> Getting started? Which language option have you chosen? Is it Python?

3. Have you reviewed DSWS Python Code samples, and if you are integrating in Python, have you run the relevant samples- examined the result sets? Perhaps started adapting the samples to your requirements?

4. Did you see DSWS Python Tutorials ending in Use Case articles, all linking to the code for the article provided by the author? Many of our clients find the articles to be especially useful to them.

Have you had a chance to learn about Datastream API integration, and now are running specific queries and running into issues? Please include the complete details, the requests, the results, where exactly you are running into the issue - we will try to review and try to help.

Additional Datastream product resources, including REST tester, to test requests without requiring to code, can be found at Datastream product site

Hope that this information is of help, let us know

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Thank you very much for your answer. For the thesis, I only need the index prices with 5-minute interval from 01 January 2017 to have them as dependent variables in my regression. Unfortunately, I have no experience with Eikon, so it is also possible that I will get confused with the terminology here.

Someone just told me that there are intraday stocks/indices in the Eikon data stream, but only for the last few months. And I also tried it with a university institution account. I opened the Eikon desktop and selected the indices I wanted. In doing so, I set the period of 2017 and the 5-minute interval. But the chart showed me only the index prices of the last year, as far as I remember.

So I would like to ask you if we can get such historical tick data for stocks/indices from 2017 in Datastream. If yes, I would like to try again. Otherwise, I will have to look for another database.

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30k 34 11 17

Hello @kck2357 ,

These forums are intended for API usage question and I will try to help from this perspective, I hope that you find the following discussion informative.

Datastream API and Eikon Data API Python are different.

As you mention Eikon datastream and the question was about asked in Datastream API forums,

I would suggest the following.

If you have your Eikon desktop running,

Start CodeBook.

Got into _Examples_

codebook-examples.gif

and select

->Data Retrieval and Discovery-> Eikon Data API.

Click on Eikon Data API TimeSeries example.

cb-ts.gif

Review example "Get Time Series with more parameters"

ek.get_timeseries(['VOD.L', 'GOOG.O'], 
                  start_date=datetime.timedelta(-1), 
                  end_date=datetime.timedelta(0), 
                  interval='minute')

you can run the notebook step by step and observe the resulting output. Is this roughly what you are looking for, only for many instruments and 5 min bars? If this is:

You can submit your list of instruments into the same call. The supported intervals for time series do not include 5 mins, you can use "minute" if this works, as is, or you can use "tick" and restructure data into bars, if this is required.

Please note the latest get_timeseries limits per Eikon Data API Usage and Limits Guideline, per get_timeseries request it is just 3000 points, so the code will have to be designed around the limits, likely partitioned into multiple calls.

If you intend to go this route, you may wish to see this previous discussion thread on how to restructure 1-minute bars into 30-mins. The approach can be utilized to restructure 1-minute bars into 5-min bars.

---

Next go back to the _Examples_ top level, and choose:

->Data Retrieval and Discovery -> Datastream Library.

Review Get Data example. The examples available are Daily, Yearly. There is no 5 min bars. However, the retrieval limits are different, see DSWS user stats and limits.

---

To verify the content availability, you may wish to either directly, or via your university leadership, engage with Refinitiv Eikon content experts, online via Refinitiv Helpdesk Online -> Content -> Eikon to open a content query, and confirm the availability of the required content set from the product that you have. Or if you are looking to verify in Datastream, select Refinitiv Helpdesk Online -> Content -> Datastream to be connected to a Datastream expert.

Let us know if this information is of help, or how we can try to help more?




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Hello @zoya faberov,

Thank you for your reply and nice suggestions. Today I was in a office of a university institute to try it again as you replied. And it did not deliver the data I want.

What I did, was:

ek.get_timeseries('AAPL.O', fileds = '*',

start_date = '2021-05-12 10:00:00',

end_data = '2021-05-31 10:00:00',

interval = 'minute')


Then I got following error messageerror-meldung.png

Could you please tell me how I can deal with this issue?

Many thanks in advance!


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Hello @kck2357 ,

Try:

ek.get_timeseries(['AAPL.O'], count = 10000, start_date = '2021-05-12T10:00:00', interval="minute")

Are you running in CodeBook? In CodeBook, on my side, the result looks like this:

appl.gif

do you see the same on your side?


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Hi @zoya faberov ,


I tried it using Python in Anaconda. Next time, I will run your code in codebook!

Thanks!

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Hello @kck2357 ,

The only difference in CodeBook should be, the specific versions of the libraries, the latest, that are installed. The code should work the same, in the vast majority of the cases.

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Hi @zoya faberov,

I have just tried it again on the codebook by running:

"data = ek.get_timeseries(['.SX7P'], start_date = '2017-01-01T09:00:00', end_date='2017-01-15T18:00:00' ,interval = 'minute')"

But I got the same error message like before,

error-meldung.png



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