Is it possible to pull historical bid ask prices for Microsoft, for the past 1 year, during regular trading hours only, at 5 min intervals?
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Hello @philipr,
For Excel usage questions, for a customer, the best approach is to refer your questions directly to Refinitiv Helpdesk Online -> Eikon, so you can be connected with and helped by Eikon Excel expert. This forum is the way to reserch answers on APIs, this section is dedicated to EDAPI Python.
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@philipr I believe it would be possible using the rhistory function in excel - please see the following thread. I am not however sure if that can specify normal market session only.
You can certainly achieve this with our RDP Historical Pricing API:
rdp.get_historical_price_summaries( universe = 'MSFT.O', interval = rdp.Intervals.FIVE_MINUTES, # Supported intervals: ONE_MINUTE, FIVE_MINUTES, TEN_MINUTES, THIRTY_MINUTES, ONE_HOUR count = 500, sessions = [ #rdp.MarketSession.PRE, rdp.MarketSession.NORMAL #rdp.MarketSession.POST ] )
However unfortunately at the moment there is an issue with this endpoint which means it returns minute intervals only (though its easy to resample this in python.). I hope this can help.
