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Corey.Stewart avatar image
17 ●1 ●4 ●5

Pulling historical forward curves

So, it's easy to pull forward curves via get_data. For example:

import eikon as ek
ek.set_app_key(<YOUR APP KEY>)

rics = ['0#CL:']
fields = ['CF_NAME','EXPIR_DATE','CF_CLOSE']

df, err = ek.get_data(rics,fields)

print(df)

   Instrument           CF_NAME  EXPIR_DATE  CF_CLOSE
0         CLU2  LIGHT CRUDE SEP2  2022-08-22     91.93
1         CLV2  LIGHT CRUDE OCT2  2022-09-20     91.20
2         CLX2  LIGHT CRUDE NOV2  2022-10-20     90.47
3         CLZ2  LIGHT CRUDE DEC2  2022-11-21     89.68
4         CLF3  LIGHT CRUDE JAN3  2022-12-20     88.90
..         ...               ...         ...       ...
121      CLV32          CL OCT32  2032-09-21     66.10
122      CLX32          CL NOV32  2032-10-20     66.21
123      CLZ32          CL DEC32  2032-11-19     66.22
124      CLF33          CL JAN33  2032-12-20     66.34
125      CLG33          CL FEB33  2033-01-20     66.51

[126 rows x 4 columns]

But, I want to be able to do the same for historical curves. I.e., the same curve from a month ago. Meaning, I run the script and the pull would also show the August 2022 contract (if the script was executed prior to its the Aug expiration in July). I want to also be able to easily pull three months ago, etc. It can be separate scripts...doesn't all have to be in one script.

Is there an easy way to do this?

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aramyan.h avatar image
5k ●16 ●2 ●7

Hi @Corey.Stewart ,


Thank you for your question. Unfortunately, you can't mix fundamental and real data with a chain instrument. However, you can extract instruments from the chain and request historical prices for the individual instrument by introducing a parameter argument as shown below:

rics = df['Instrument'].to_list()
fields = ['TR.CLOSEPRICE']
parameters = {'Frq':'D','SDate': '2022-07-12','EDate': '2022-08-12'}

prices, err = ek.get_data(rics,fields, parameters)
 
prices


Please let me know should you have any further questions.


Best regards,

Haykaz

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Corey.Stewart avatar image Corey.Stewart
Thanks, but I already have created something like this with continuous (CLc1, CLc2...) contracts. There's no way to pull a chain like 0#CL: when the contracts were different? I.e., last month the front contract would have been August. I'm assuming I could pull history on individual contracts (CLK1, for example), but is not very useful as this script will be used continuously and needs to update.


TL;DR: I need data for 0#CL: as it was in certain points in history, e.g., 0#CL: on March 1, 2022.
aramyan.h avatar image aramyan.h Corey.Stewart

Unfortunately, as I am aware (you can judge from the post here as well) you cannot get historical chains.

Corey.Stewart avatar image Corey.Stewart aramyan.h
Thank you.

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