Hello,

This question references Eikon API, but is posted under RDP. Please move it to right category, or else let us know that you indeed need help with RDP API.

The ESG Score for STOXX 600 index is not pre-calculated by Refinitiv, but it is easy to do this in the Eikon API. Here are the code snippets to do so:

df,err = ek.get_data('0#.STOXX', fields=['TR.TRESGScore'])
print('ESG coverage {}%'.format(df['ESG Score'].count()/len(df)*100))
>>> ESG coverage 99.33333333333333%

To get the timeseries data for index constituent:

ek.get_timeseries(df['Instrument'].head().to_list(), fields=['HIGH', 'LOW'], start_date='2020-10-05', end_date='2020-10-09', interval='daily')

Here, I am getting data for a subset, since trying to get timeseries for 600 instruments is throwing an Eikon error.

Also note that, you can directly use Eikon Data API in R language, using the open source R package. It is not officially supported by Refinitiv, but you can search its usage in these forums. Example: https://community.developers.refinitiv.com/questions/35606/r-compatibility-with-eikon-api.html

@Gurpreet I apologize for having the wrong section, I have remedied. This is my first time using Thomson Reuters Eikon, I am writing my master's thesis and I need to download that data. I thought it was not necessary to do this via code.

These codes you kindly wrote me where can I copy them? Could you tell me some guides that I can download to learn how to do it? I need those ESG scores and then the adjusted price time series for only a few stocks that I will select (but I can do this from the app by getting the .csv file).

If they are not pre-calculated by Refinitiv, where do they come from?

Anyway thank you so much for replying.

@user01

Regarding adjusted close price, please refer to Eikon Data APIs for Python - Reference Guide provided under section document.

get_timeseries function provides the option to set corax to adjusted or unadjusted . The following post also discusses the corax option and its exception.

https://community.developers.refinitiv.com/questions/44745/using-python-api-to-get-adjusted-price-of-stocks.html

Note that Python Pandas library also provides method to_csv to export the data to CSV file, and then you can use it in R or another programming language.

Thanks so much for the tip.

One last question: Once the ESG data is downloaded, I should divide it into quartiles and create a portfolio with the first quartile. I tried doing this directly on Thomson Eikon, setting equal weights, but I'm not sure if it calculates the portfolio's return series based on dividend-adjusted prices.

If I wanted to do it on the software and not through code how could I do?