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How can I retrieve all the Hourly data in RIC Future Continuation Expiry TRDEBFVDc1

I would like to retrieve all the 24 hours data point in RIC Future Continuation Expiry TRDEBFVDc1 using the Eikon Data Python API.

I have tried:

start_str = '2020-12-07T00:00:00'
end_str = '2020-12-08T00:00:00'
data = ek.get_timeseries(RIC,
                start_date = start_str,
                end_date   = end_str,
                fields     = ['CLOSE'])

but only get one value back instead of the 24 hours data points in that RIC.

Could you please give me the correct call to retrieve all the 24 hours values in RIC TRDEBFVDc1 ?

Thank you.

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@clangevin the only product I can think of that would provide a history of those fields is Tick History - which records all fields and all changes for pretty much everything we have OTC and exchange traded. All of these fields will be available at what ever timesnap you wanted from ticks to 1min bars or hourly etc bar resolution. You can speak to your account rep to get you a quote for a cut of that data or you may already have access to that product. You want to mention all of those fields from the quote monitor Hour1...Hour24. I hope this can help.

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Thanks Jason, what is the call for this Tick History function on TRDEBFVDc1 ?

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Hi @clangevin - I am able to get some data through using the following but it does not seem complete - really this is a curve of 24 hourly points which I can see in the quote app:

Now the issue with this data is that it is not presented in our normal data model format. This means it is not accessible by the Eikon Data API. The call below does work - but I'm not sure what hour the return is from. If we look at the data model above by hovering over the fields - we can see that Hour1 is BEST_BID1, Hour2 is BEST_BID2 and so forth until Hour24 which is GEN_VAL4 - this is a problem. The timeseries API has a reduced datamodel so these FIDs would not be available at all - the new RDP datamodel does not contain these illogical FID fields either. These fields are available from a streaming API subscription to that RIC and then selecting all the Hour1...Hour24 FIDs - but that would not be a timeseries history just streaming realtime.

start_str = '2020-12-02T00:00:00'
end_str = '2020-12-08T00:00:00'
data = ek.get_timeseries('TRDEBFVDc1',
                start_date = start_str,
                end_date   = end_str,
                fields     = ['CLOSE'], interval ='hour')

data

You could perhaps get a timeseries history of this data from Point Connect which I think you also have access to. I hope this can help.


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Thanks Jason. Point Connect doesn't have this data unfortunately so it seems it's inaccessible.

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@clangevin Tick History has a REST API which you can use to make what are called on-demand extractions or if you wanted you could also schedule extractions (for on-going daily updates). There are a full set of tutorials using the REST API for an on-demand extraction. I believe Tutorial 3 and 6 should have you covered for that. In particular Tutorial 6 has a JSON request/response example for Intraday bars at an hourly resolution which I think you might find useful as a starting point. Just change the instrument and add the FIDs from the quote example. ie BEST_BID1 etc.

I hope this can help.

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Thanks Jason, very useful. I won't have time to look at another data feed for now unfortunately but will keep that solution in mind for the future.

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