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JIAN.DU avatar image
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Historical bid/ask FX Eikon API

Hi Reuters,

I am currently using a python script that links up our FX OMS database with Eikon python API, to check if the rate we are getting are within pre agreed discretionary spread off the BBO at the time. Think of it as a real time sanity check/fat finger monitor.

Currently I am using get_data which pulls in the best bid/ask for FX eg PHP= at time we get the FIX fill. It works fine however I am looking to be able to pull one historical data point given a date/time such as when my code crashes... don’t want to compare historical fills against real time/current rates

Get_timeseries would be best for this however believe it doesn’t support bid/ask, and seems like get_data doesn’t support historical time?

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1 Answer

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Zhenya Kovalyov avatar image
4.6k ●26 ●7 ●22

That's correct. You can access only the interday time series with the get_data() call, while get_timeseries() currently exposes only the default view, which is BID for PHP=, so there is not really a solution for what you would like to do in Python.

You can use RHistory COM API in Excel VBA for this purpose or the .NET Time series data API.

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JIAN.DU avatar image JIAN.DU

Thanks Zhenya, Is there an enhancement for this in the pipeline?

Zhenya Kovalyov avatar image Zhenya Kovalyov JIAN.DU

@JIAN.DU we a looking to add this functionality some time next year

JIAN.DU avatar image JIAN.DU Zhenya Kovalyov

Hi Zhenya just wondering if there is any update to getting this released? Seems pretty basic functionality.

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