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sumit avatar image
39 ●3 ●2 ●10

Strange output of get_timeseries on FX Spot data

I have this bit of code..

With this I see a very sparse dataset (see attached pic). Some obeservations....

1. FX is almost a 24x6 - so I was hoping to get more dense dataset

2. For JPY- I don't get any data till 23:00

3. For GBP= I dont get data till 22:00 (London market starts at 9:00 GMT)

I believe my Eikon settings are set to UTC.

Any idea where I might be going wrong?

1666779370526.png


tick_data = ek.get_timeseries(
    ['EUR=', 'GBP=', 'AUD=', 'NZD=', 'CAD=', 'JPY='],
    fields=['BID', 'ASK'],
    start_date='2022-08-04T00:00:00',
    end_date='2022-08-04T23:59:59',
    interval='taq'
)
tick_data = tick_data.resample('1s').mean().dropna(how='all')
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Jirapongse avatar image
80.1k ●257 ●52 ●75

@sumit

Sorry about the issue that you are facing.

The request may breach the limitations of Eikon Data API.

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.

I requested for one RIC and I can get the data properly.

1666866362856.png

I hope that this information is of help


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sriseshagiri.g avatar image
1 ●0 ●0 ●0

What python packages do i need to get these data on my jupyter notebook ?

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Jirapongse avatar image Jirapongse

@sriseshagiri.g

It is Eikon Data API. It retrieves data through Eikon or Refinitiv Workspace running on the same machine. For more information, please refer to the Eikon Data API Overview page.


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