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devilliersk avatar image
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Extracting Historic Timeseries Data for 0#SOY: | Johannesburg Stock Exchange Soybean Commodity Future Chain | Johannesburg Stock Exchange | South Africa | ZAR Using Eikon API R

I'm trying to use the Eikon API for R to extract the historic timeseries data for:

0#SOY: | Johannesburg Stock Exchange Soybean Commodity Future Chain | Johannesburg Stock Exchange | South Africa | ZAR

I'm not having any luck. I'm using the get_timeseries() function.

First off, I'm not sure if I'm using the correct naming for the RIC. I think the problem is that this commodity has contract for March, May, July, September and November.

Everything I've tried doesn't seem to work.

Can anyone assist me on this please?

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1 Answer

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Alex Putkov.1 avatar image
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Here's an example using eikonapir package

library(eikonapir)
set_app_key('USE_YOUR_APP_KEY_HERE')
instr_df <- get_data('0#SOY:','DSPLY_NAME')
df <- get_timeseries(instr_df[['Instrument']], start_date='2021-01-01T00:00:00', end_date='2021-07-19T00:00:00')
df
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devilliersk avatar image devilliersk
Thank you. I was able to retrieve the information for the active instruments, but these instruments only show the data for when their contract year starting, and the previous contract year instruments also only hold data from one year back, therefore all the historical data until one year back is missing.

I see the seasonality chart for 0#SOY: has all the available historical data from 2014. Is there some way to retrieve these specific data?


Alex Putkov.1 avatar image Alex Putkov.1 devilliersk

The seasonality chart allows you to pick a contract month (e.g. September) and stack price history plot for a number of futures with this expiry month from prior years over the X axis that is stripped of the year info. This is done using expired future RICs, e.g. SOYU9^1 for Sep 2019 contract, which you can use in get_timeseries method. Note that the date range you request must overlap with the price history available for the RIC. Depending on what you're looking to achieve, you may also or instead want to look at continuation RICs, e.g. SOYc1, SOYc2 etc, which refer to the nearest, second nearest etc contract. When the nearest future expires SOYc1 automatically rolls over to the second nearest contract (which at that point becomes the nearest). Continuous RICs for futures provide price history going back as far as we have price history for future series as opposed to for the lifetime of a specific contract. If you're not familiar with the concept of continuous futures, take a look at this article .

devilliersk avatar image devilliersk Alex Putkov.1
Thank you very much. I'm relative new with working with the Eikon API and with these types of data and I appreciate your quick help.
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