In comparing the results returned by get_data and get_timeseries, I found one example where they return different results for the same field:
ek.get_data(['ESH9^1'], ['TR.OPENPRICE.Date', 'TR.OPENPRICE', 'TR.HIGHPRICE', 'TR.LOWPRICE', 'TR.CLOSEPRICE', 'TR.ACCUMULATEDVOLUME'], {'SDate': '2019-03-01', 'EDate': '2019-03-01', 'FRQ': 'D'})
returns:
Instrument Date Open Price High Price Low Price Close Price Accumulated Volume
0 ESH9^1 2019-03-01T00:00:00Z 2785.25 2808.25 2783 2807 1265597
while:
ek.get_timeseries(['ESH9^1'], fields=['TIMESTAMP', 'OPEN', 'HIGH', 'LOW', 'CLOSE', 'VOLUME'], start_date='2019-03-01', end_date='2019-03-01', interval='daily')
returns:
ESH9^1 OPEN HIGH LOW CLOSE VOLUME
Date
2019-03-01 2785.25 2808.25 2783.0 2805.0 1265597.0
In this example, the Close field values differ between the two function calls (2807 returned from get_data, 2805 returned from get_timeseries). Should these functions be returning the same data for all of these fields?
