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How to get historical FX forward intraday fixings using the Eikon python API?


I'd like to pull historical intraday fixings for nearly all FX forwards using the Eikon python API. Though this is not efficient, I've been able to pull some intraday data using the 0#WMFWDI and its subchains. This has two problems:

- Firstly, 0#WMFWDI returns a list of chains. These chains return a list of FX forward pairs and tenors and I must send individual requests for each of these rics. Is there a way to do this in a more systematic way?

- Secondly, by specifying an interval in my requests (i.e. 'get_timeseries('...', interval='hourly')), I can get hourly timestamps. Is it possible for these to clip on to intraday times?

Thank you in advance

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1 Answer

10.2k 19 5 9

hi @lois.ivanaj ,

Regarding the first question, the Eikon get_timeseries function also supports the input of the RICs list, so you could make a list of the constituents' RICs and put them into the function, for example,
to get hourly data of 3 RICs

ek.get_timeseries(['EURAEDTNFIXP=WM', 'EURAEDTNFIXP=WM', 'EURAEDSWFIXP=WM'], interval = 'hour')


However, please be aware of the Eikon Data API Usage and Limits Guideline guide as there is the daily/call-based and some other limits list there, for example, the call-based limit of get_timeseries is the below

get_timeseries: The current limit value (10-Oct-2019) is 3,000 data points (rows) for interday intervals and 50,000 data points for intraday intervals. This limit applies to the whole request, whatever the number of requested instrument.

About the second question, do you mean getting data of the specific time of the day? If so, the code below can be used

                  , start_date = '2022-06-06 08:00:00'
                  , end_date = '2022-06-06 14:00:00'
                  , interval = 'hour')


If this is not what you meant, please clarify more about what the requirement is and provide the code you used that was requested by the moderators for further investigation.

Lastly, I'd like to add that possible value of intervals are the below

'tick', 'minute', 'hour', 'daily', 'weekly', 'monthly', 'quarterly', 'yearly' (Default 'daily')

this can be checked by using the Python help function on this function


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