Historical data for bid and ask price per minute

Question

question

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Historical data for bid and ask price per minute

Hi,

I am looking for historical data (bid and ask price) regarding bonds.

I can retrieve the data when i use yearly, monthly and daily frequency. However, when I am trying to reload data per minute or 30 minutes i get the output of N/A.

Here is an example of the code i use :

import datetime
import eikon as ek
## Set the datetime
start_date = datetime.datetime(2023, 3, 1).strftime('%Y-%m-%d')
end_date = datetime.datetime(2023, 3, 2).strftime('%Y-%m-%d')
##Reload data from Refinitv
df, err = ek.get_data(
    instruments= =['NL188254462='],
    fields=['TR.ASKPRICE', 'TR.ASKYIELD', 'TR.BIDPRICE', 'TR.BIDYIELD'],
    parameters={'SDate': start_date, 'EDate': end_date, 'Frq': 'minute'})

print(df)

The problem seems that is the way i add the frequency.

Thank you in advance,

Kind regards,

Kyriakos

refinitiv-dataplatform-eikon #product python api historical refinitiv-real-time

Apr 03, 2023 at 07:41 AM

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Answer 1 · 2023-04-03T08:03:36Z

aramyan.h

5.6k ●18 ●2 ●7

Hi @kyriakos.eleftheriadis ,

Thank you for your question. For retrieving historical prices, I would advise using rd.get_history function from our latest RD Libraries (you can install via - pip install refinitiv-data) which will allow getting 1-year intraday historical data and 3-month tick data. Please see the code below:

import datetime
import refinitiv.data as rd
## Set the datetime
start_date = datetime.datetime(2022, 1, 1).strftime('%Y-%m-%d')
end_date = datetime.datetime(2023, 3, 2).strftime('%Y-%m-%d')
##Reload data from Refinitv
df = rd.get_history(
    universe= ['NL188254462='],
    fields=['ASK', 'ASK_YIELD', 'BID', 'BID_YIELD'],
    start = start_date,
    end = end_date,
    interval = '1min'
   )
df

Hope this helps, let me know should you have any further questions.

Best regards,

Haykaz

screenshot-2023-04-03-at-120303.png (121.8 KiB)

Apr 03, 2023 at 08:03 AM

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Answer 2 · 2023-04-03T14:51:09Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Dear Haykaz,

Thank you for your response@h.aramyan01 .

I did like this but now i have another issue regarding the app_key.

Should i change the set_app key function?

Thank you in advance,

Best,

Kyriakos

Apr 03, 2023 at 02:51 PM

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aramyan.h Apr 03, 2023 at 03:44 PM

Hi @kyriakos.eleftheriadis ,

Here, in RD, instead of ek.set_app_key('') you need to run rd.open_session(). Please note, that as in Eikon you need to have workspace running on the background.

Best regards,

Haykaz

Answer 3 · 2023-04-04T07:27:06Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Hi @h.aramyan01,

Thank you for your response.

I tried to run the rd.open_session, however i am not sure which kind of app_key i need to use.

Could you please give me some more details on how this works?

Thank you,

Kind regards,

Kyriakos

Apr 04, 2023 at 07:27 AM

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aramyan.h Apr 04, 2023 at 08:05 AM

Hi @kyriakos.eleftheriadis ,

You don't need to specify the APPKEY in case of RD, it will automatically get that from your Workspace which as I mentioned before need to be open on the background (as it is in case of Eikon API). So your final code should look like this:

import datetime
import refinitiv.data as rd
rd.open_session()

## Set the datetime
start_date = datetime.datetime(2022, 1, 1).strftime('%Y-%m-%d')
end_date = datetime.datetime(2023, 3, 2).strftime('%Y-%m-%d')
##Reload data from Refinitv
df = rd.get_history(
    universe= ['NL188254462='],
    fields=['ASK', 'ASK_YIELD', 'BID', 'BID_YIELD'],
    start = start_date,
    end = end_date,
    interval = '1min'
   )
df

Best regards,

Haykaz

Answer 4 · 2023-04-05T08:06:01Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Dear @h.aramyan01,

Thank you very much for your response.

Do I have to download the the refinitiv data workspace ? Or it works when i have the Eikon workspace running.

Sorry for the many questions, but i am not familiar with it, since i use it for the first time.

Thank you in advance,

Kind regards,

Kyriakos

Apr 05, 2023 at 08:06 AM

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aramyan.h Apr 05, 2023 at 09:20 AM

Hi @kyriakos.eleftheriadis ,

No worries at all, happy to address those. Eikon should be fine.

Best regards,

Haykaz

Answer 5 · 2023-04-05T13:35:50Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Hi @h.aramyan01,

Thank you again for the help.

I have the Eikon workspace running, however, when i execute my code i receive this output:

Empty DataFrame

Columns: []

Index: []

Process finished with exit code 0

Although I am sure that the data exists, not sure what is the problem.

Thank you in advance,

Best regards,

Kyriakos

Apr 05, 2023 at 01:35 PM

10 |1500

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aramyan.h Apr 05, 2023 at 01:45 PM

Hi @kyriakos.eleftheriadis ,

Could you please enable the logs for us to see if we are getting any errors by adding the following code after importing the RD lib?:

rd.get_config().set_param(
       param=f"logs.transports.console.enabled", value=True
)

Best regards,

Haykaz

Answer 6 · 2023-04-05T14:05:00Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Hi @h.aramyan01,

I added the code you mentioned but there are no errors.

The code runs and returns the values when i use one ISIN, for example from a bond.

However, when i try to add more (i use identifiers from Mongo) the output is as i described before. Fyi, I use a list of several bonds which is called 'identifiers'

Notice that when i used the Eikon function the same code with the identifiers worked.

That's my whole code:

import datetime
import refinitiv.data as rd
from tradingutils.db.connection import get_mongo_vm_db

##Set the app_key for refinitiv (must be logged in)
rd.open_session()

## get client from Mongo
mongo = get_mongo_vm_db()

audit_feed = mongo['audit_feed']['prod']

## Find the query
find_query = {
'TRADDESK': 'EUFFFI',
'last_modified': {'$gte': datetime.datetime.utcnow() - datetime.timedelta(days=90)}}

project_query = {'IDENTIFIER': 1}

##Retrieve identifiers from Mongo
identifiers = audit_feed.find(filter=find_query, projection=project_query)

identifiers = {doc.get('IDENTIFIER') for doc in identifiers}

print(identifiers)

## Set the datetime
start_date = datetime.datetime(2023, 3, 1).strftime('%Y-%m-%d')
end_date = datetime.datetime(2023, 3, 2).strftime('%Y-%m-%d')
##Reload data from Refinitv
df = rd.get_history(
    universe=  list(identifiers),
    fields=['TR.ASKPRICE', 'TR.ASKYIELD', 'TR.BIDPRICE', 'TR.BIDYIELD'],
    parameters={'SDate': start_date, 'EDate': end_date, 'Frq': '1Min'})

print(df)

Thank you,

Kind regards,

Kyriakos

Apr 05, 2023 at 02:05 PM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

aramyan.h Apr 05, 2023 at 02:18 PM

Hi @kyriakos.eleftheriadis ,

It would be more helpful if you could share the identifies within list(identifiers) (at least some of those) for me to test on my end. Also the code I have suggested was the following not the one I can see in your current post. Could you please try with the code below?

df = rd.get_history(
    universe= ['NL188254462='],
    fields=['ASK', 'ASK_YIELD', 'BID', 'BID_YIELD'],
    start = start_date,
    end = end_date,
    interval = '1min'
   )
df

Best regards,

Haykaz

Answer 7 · 2023-04-06T07:37:50Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Hi @h.aramyan01,

When I try the code you described above it works and i get the data.

The only problem is when i add the list with the several identifiers. Then it gives me no values

To be more specific some examples of the bonds are : 'PTOTELOE0028', 'DE000HCB0BH9', 'XS2538778478', 'XS1887485032', 'FR0013429073', 'XS2558343476', 'FR0013231768', 'XS2200513070', 'XS2056395606', 'ES0413211873', 'NL0000102234', 'DE000A2GSLV6', 'IT0001444378', 'ZL0647897', 'XS1180256528'.

Is it possible that because the list is really huge that i cant get the data ?

Thank you again for your help.

Kind regards,

Kyriakos

Apr 06, 2023 at 07:37 AM

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aramyan.h Apr 06, 2023 at 08:07 AM

Hi @kyriakos.eleftheriadis ,

Instead of using ISINs I would advice converting the ISINs into RICs first:

from refinitiv.data.content import symbol_conversion

symbol_list = ['PTOTELOE0028','DE000HCB0BH9', 
       'XS2538778478', 'XS1887485032', 'FR0013429073', 'XS2558343476', 'FR0013231768', 
       'XS2200513070', 'XS2056395606', 'ES0413211873', 'NL0000102234', 'DE000A2GSLV6', 
       'IT0001444378', 'ZL0647897', 'XS1180256528'
      ]
response = symbol_conversion.Definition(
    symbols= symbol_list,
).get_data()
 
response.data.df

Then you can retrieve the list of RICs and pass that to the get_history function:

rics = response.data.df['RIC'].values.dropna()
rics
 
## Set the datetime
start_date = datetime.datetime(2023, 3, 1).strftime('%Y-%m-%d')
end_date = datetime.datetime(2023, 3, 2).strftime('%Y-%m-%d')
##Reload data from Refinitv
df = rd.get_history(
    universe= rics,
    fields=['ASK', 'ASK_YIELD', 'BID', 'BID_YIELD'],
    start = start_date,
    end = end_date,
    interval = '1min'
   )
df

Best regards,

Haykaz

17418-screenshot-2023-04-06-at-115915.png (284.0 KiB)

17419-screenshot-2023-04-06-at-120028.png (160.6 KiB)

Answer 8 · 2023-04-14T12:09:56Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Hi @h.aramyan01,

Thank you very much, now it works from what i can see

Thank you again for the help,

Kind regards,

Kyriakos

Apr 14, 2023 at 12:09 PM

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aramyan.h Apr 14, 2023 at 01:08 PM

You are very welcome, happy to help!

Answer 9 · 2023-04-24T14:12:14Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Hi @h.aramyan01,

Hope you are doing fine.

Is it possible to get the historical data for bid and ask for an index ?

For instance, i have the ICE BofA Euro High Yield Index. Are the data available when it comes to an index?

Do i have to use another code to reload the data?

Thank you in advance,

Kind regards,

Kyriakos

Apr 24, 2023 at 02:12 PM

10 |1500

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aramyan.h Apr 25, 2023 at 06:47 AM

Hi @kyriakos.eleftheriadis ,

Sure, you can use the index's RIC (which is .MERHE00 I believe) for the "universe" parameter. You may comment out fields parameter also to get all available fields for the request.

Best regards,

Haykaz

Answer 10 · 2023-04-25T07:03:43Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Good morning @h.aramyan01,

Thank you for your answer.

I mean to get all the index constituents data. I think there are about 900 bonds.

Is this possible?

Thank you again for the help.

Kind regards,

Kyriakos

Apr 25, 2023 at 07:03 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Answer 11 · 2023-04-25T07:37:20Z

aramyan.h

5.6k ●18 ●2 ●7

Hi @kyriakos.eleftheriadis ,

This is the code to get index constituents. Please see the example for FTSE:

df = rd.get_data('.FTSE', 
                      ['TR.IndexConstituentRIC' , 'TR.IndexConstituentName'])
df

However, this code produces NAs for .MERHE00. I have checked in Workspace and there is no constituent data for that there as well. To learn more about the reasons, I would advise raising a content query via MyRefinitiv.

Best regards,

Haykaz

screenshot-2023-04-25-at-113629.png (42.3 KiB)

Apr 25, 2023 at 07:37 AM

10 |1500

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Answer 12 · 2023-04-25T11:57:38Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Hi @h.aramyan01,

Thank you, this helps a lot.

Best,

Kyriakos

Apr 25, 2023 at 11:57 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Answer 13 · 2023-05-23T10:36:38Z

kyriakos.eleftheriadis

3 ●2 ●3 ●5

Hi @h.aramyan01 ,

I hope you are doing well.

I have a question regarding how to retrieve tick historical data for bonds using pycharm.

To get historical time series data i used the following script which you provided me:

  
                
                 df = rd.get_history(
                     universe=rics,
                     fields=['ASK', 'ASK_YIELD', 'BID', 'BID_YIELD'],
                     start=start_date,
                     end=end_date,
                     interval='1M'

Does the same work or i need to adjust my script?

Thank you in advance,

Kind regards,

Kyriakos

May 23, 2023 at 10:36 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

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