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renee.yao avatar image
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tick data 'nan' values

Hi fellow developers,

ek.get_timeseries('AA',interval='tick',start_date='2017-10-26T13:30:00',end_date='2017-10-26T13:35:00')

gives a list of tick data, but there are some nan's for VALUE with regular VOLUME. I compared it with the output of

ek.get_timeseries('AA',interval='minute',start_date='2017-10-26T13:30:00',end_date='2017-10-26T13:35:00')

the volume are the same if counting the nan volumes. I wonder if the nan's are intended or something else. This is really getting in the way of computing VWAP since if I exclude those nan VOLUME then the total 5 min VOLUME will not match the one from minute data.

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1 Answer

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Alex Putkov.1 avatar image
39.2k ●75 ●11 ●27

I do not see what you claim with regard to regular volume. As far as I can see all trades with NaN for price have odd lot volume. Odd lot trades get recorded in the tick interval without price. The volume of these trades counts toward aggregated volume in higher intervals, such as 1 minute. But these trades are excluded from VWAP calculation. As far as I know this is a market standard methodology, however I’m not exactly an expert here and cannot tell you why such rules were put in place. If you need an explanation, I suggest you raise the question to Thomson Reuters Helpdesk. If you need to illustrate the issue to the Helpdesk, it's easily reproducible using =RHistory function in Eikon Excel.

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