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Archi avatar image
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Oas History for security on DSWS

Hi All - Just trying to get to get option adjusted spread for a security using an isin (just a sample of one below).

a) Is OAS history is available through dsws.Datastream() - ie the market_data_provider var below

b) If it is do whats the syntax to get it is it get time series, get_data - whats the data time

market_data_df = market_data_provider.get_data('AU3CB0282028', fields=['OAS'], start=f'{start_date}',end=f'{end_date}', kind=1)

If I cannot get the oas history from dsws above how can I get it - I need an api call.

Thanks,

Adam


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start_date = "2020-01-01"

end_date = "2021-08-09"

market_data_provider = dsws.Datastream() #purposely excluding username/password

market_data_df = market_data_provider.get_data('AU3CB0282028', fields=['OAS'], start=f'{start_date}',end=f'{end_date}', kind=1)

market_data_df

datastream-apidsws-apiderivativesdatastream
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wasin.w avatar image wasin.w

Hello @Archi

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,


AHS

2 Answers

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Jirapongse avatar image
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@Archi

I found OAS in Datastream. It is a datatype for Bond Indices.

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I can use it with the Bond Indices instruments, such as SBBIGBI (FTSE United States Broad Investment-Grade (USBIG) Bond Index).

1629436960522.png

For other API options, please contact your Refinitiv account team or Sales team to verify the products that can provide daily OAS for securities.


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Jirapongse avatar image
38.1k ●71 ●35 ●53

@Archi

From my checking, OAS may not be a valid data type in the Datastream. I can't find it in the Datastream Navigator.

Please directly contact the Refinitiv Datastream Web Service support team via MyRefinitiv to verify how to get OAS from Datastream.


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Archi avatar image Archi
Thanks - what api options - datastream/other products (for use off desktop) can be used to get daily oas for a security. Python is preferable but .net would also work.
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