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D avatar image
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Python API not returning all tick values

Hi,

Having some trouble returning block trades using the python API. Using SHL.AX as an example, the code below doesnt seem to be able to show the 2m block done on the 23rd (or any of the other large trades I was expecting. Also ignoring time zones as I can adjust for this later).

Any ideas would be greatly appreciated! 

rics_blocks = ['SHL.AX']
Sdate='2019-08-20'
Edate='2019-08-25'
Interval = 'tick'
fields_blocks = ['TIMESTAMP', 'VALUE', 'VOLUME']
  
blocks = ek.get_timeseries(rics_blocks, fields_blocks, start_date = Sdate, end_date = Edate, interval = Interval).query('VOLUME>30000')
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2 Answers

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marcin.bunkowski avatar image
3.8k ●4 ●4 ●6

Hi @D

It looks, that you are using different interval. The application retrieves Time and Sales where you are doing it on a tick interval.

Those trades are not available on tick interval and now this is more of a question to a Refinitiv Helpdesk to explain that.

To match results in TASV app it you need to use the same tas interval

rics_blocks = ['SHL.AX'] 
Sdate='2019-08-23' 
Edate='2019-08-24' 
Interval = 'tas' 
fields_blocks = ['Timestamp','Bid','Ask','Count','Trdprc_1']
blocks = ek.get_timeseries(rics_blocks, fields_blocks, start_date = Sdate, end_date = Edate, debug=True, interval = Interval).query('COUNT>300000')
blocks = blocks.sort_values(by=['COUNT'],ascending=False)


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D avatar image D

Thanks! That solves my question.

Interesting...the documentation doesn't say that 'tas' is a valid interval. Is there another document that you're referencing?

intervalstringData interval. Possible values: 'tick', 'minute', 'hour', 'daily', 'weekly', 'monthly', 'quarterly', 'yearly' (Default 'daily') Default: 'daily'
marcin.bunkowski avatar image marcin.bunkowski D

Hi @D

Yes, you are right, the documentation does not mention about TAS interval. I did it by trial and error. I suspect that it will be soon released officially.

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chavalit-jintamalit avatar image
18k ●21 ●12 ●20

Hi @D

Getting Tick data point for several days may give you a large amount of data.

If the returning number of records is more than the limitation, you will not get all of them.

For more information, please review this limitation document.


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