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paul67 avatar image
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Time series using ek.get_data

I am trying to retrieve mid price for the following ticker using the below

df = ek.get_data('EURCBS3M=ICAP', ['TR.ASKPRICE.Date', 'TR.ASKPRICE','TR.BIDPRICE'], parameters={'SDate':'2017-08-01', 'EDate':'2020-09-14'})

I do not believe Mid is available so i retreive Bid and Ask

So i am first ading new column for Mid

df['Mid'] = df['TR.ASKPRICE'] + df['TR.BIDPRICE']

but coming back with error :

df['Mid'] = df['TR.ASKPRICE'] + df['TR.BIDPRICE']

TypeError: tuple indices must be integers or slices, not str


Can someone explain what is going wrong here - whey it does not recognise above as dataframe?

Also by retrieving in this manner is the Date column recognised as an actual date?



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2 Answers

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Alex Putkov.1 avatar image
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@paul67

To answer your question about the Date column, get_data method returns date and time stamps as ISO 8601 strings. To convert these strings to datetime type use pandas.to_datetime method.

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umer.nalla avatar image
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Hi @paul67

The return value from the get_data is a tuple rather than a dataframe as it returns the dataframe and any errors

So, the following works for me

df,err = ek.get_data('EURCBS3M=ICAP', ['TR.ASKPRICE.Date', 'TR.ASKPRICE','TR.BIDPRICE'], parameters={'SDate':'2017-08-01', 'EDate':'2020-09-14'})

df['Mid'] = (df['Ask Price'] + df['Bid Price'])/2


Can you also expand on your question about the date Column - I don't fully understand the question?

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