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pgrahl avatar image
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How to get a point in time (vintage) data from a forecast series?

I need to get a vintage data (point in time) for a time series with a forecast. For instance, consider the Datastream ticker (USLGDPQMQ) or alternatively the RIC (pUSGDPQP=M).

If I use the function 'timeSeriesRequest' I can use the 'RELV' datatype and I will get the time series 'as of' the 'endDate' parameter used (vintage, point in time). This works fine for all standard time series, but *not* for the ones with forecast.

If I want to see the forecasts, I need to put 'endDate' into the future. This works fine If I want to get the current snapshot (the latest) forecast. Say I will get today's forecast from now until December 2022. However, this does not work if I want to see what were those same forecasts 3 months ago. The reason is that, in order to get point in time I need to set the 'endDate' to 3 months ago and the parameter 'RELV'. But doing that prevents me from getting the forecast going to Dec 2022.

So the question is: how do I get a point in time time series of a forecast?

Thanks in advance for any help.

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2 Answers

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Alex Putkov.1 avatar image
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@pgrahl
Using Eikon you can only get one value per quarter for the economic forecast RIC like pUSGDPQP=M.

ek.get_timeseries('pUSGDPQP=M', interval='quarterly', 
                  start_date='2018-01-01', end_date='2023-01-01')

In other words, using Eikon you cannot see how the forecast for say Q4 2020 changed over time. I defer to someone else to comment on whether the timeseries of forecasts for a given quarter are available in Datastream.

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pgrahl avatar image pgrahl

Thanks @Alex Putkov.
This information ('how the forecast changed over time') is available at Eikon/REfinitiv/Datastream database. At Eikon, one can go to a page, look at the forecast evolution and download an excel file with the forecast's evolution.
So the information is indeed availabel. Unfortunately, the excel file does not contain any formula that could provide any hint on how to use any APIs to get the same information.
How do I escalate this question to the proper person?
I have tried the 'formal' EIkon support chat but they directed me to the "developer community"...
Any help on how to get to the answer would be appreciated.

Thanks


Alex Putkov.1 avatar image Alex Putkov.1 pgrahl

@pgrahl
The rule of the thumb is if a data item can be retrieved using a worksheet function in Excel, it can also be retrieved using Eikon APIs and vice versa. Refinitiv Helpdesk is fully equipped to research the data model for any data item available through Eikon and advise you on how to retrieve it into Excel. However, they're not fully versed in APIs, which is why they sometimes may refer you to Refinitiv Developer Portal. In this case what would be helpful is to figure out how to retrieve the data you're after using a worksheet function in Excel, which can then be easily translated into an API call.
I opened case 09454683 on your behalf with Refinitiv Helpdesk to research how the data you're interested in can be retrieved into Excel. The Helpdesk will reach out to you with the answer or if they need any clarification.

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pgrahl avatar image
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I've got feedback from all sides saying that it is not possible to obtain the full history of a specific forecast point.

However, see above the print out from an excel file downloaded directly from Eikon. It clearly shows that the information *do exist* somewhere in the Eikon/Datastream/Refinitiv database.

Unfortunately, the excel file comes with 'paste values' so there is no formula hinting how to access that information.

Thanks @Alex Putkov. for your previous help in trying to get this info.


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