why do HistoricalPricing.get_summaries() with interval other than minutely or daily, not work?

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gabriel.borrageiro.20

3 ●0 ●0 ●1

why do HistoricalPricing.get_summaries() with interval other than minutely or daily, not work?

It appears that when extracting data via refinitiv.dataplatform.HistoricalPricing.get_summaries(), only the minutely interval and the daily interval work. See the example below.

import refinitiv.dataplatform as rdp

grant = rdp.GrantPassword(username=RDP_LOGIN, password=RDP_PASSWORD)
rdp.open_platform_session(APP_KEY, grant)
rdp.logging.disable()

for interval in rdp.Intervals:
    response = rdp.HistoricalPricing.get_summaries('GBP=', interval=interval, count=5)
    print('\ninterval name=%s value=%s\n%s'
          % (interval.name, interval.value, response.data.df[['BID', 'ASK']].head()))

interval name=ONE_MINUTE value=PT1M

BID ASK

2021-03-12 21:56:00 1.3916 1.3921

2021-03-12 21:57:00 1.3919 1.3924

2021-03-12 21:58:00 1.3918 1.3923

2021-03-12 21:59:00 1.3922 1.3927

2021-03-12 22:00:00 1.3922 1.3927

interval name=FIVE_MINUTES value=PT5M

BID ASK

2021-03-12 21:56:00 1.3916 1.3921

2021-03-12 21:57:00 1.3919 1.3924

2021-03-12 21:58:00 1.3918 1.3923

2021-03-12 21:59:00 1.3922 1.3927

2021-03-12 22:00:00 1.3922 1.3927

interval name=TEN_MINUTES value=PT10M

BID ASK

2021-03-12 21:56:00 1.3916 1.3921

2021-03-12 21:57:00 1.3919 1.3924

2021-03-12 21:58:00 1.3918 1.3923

2021-03-12 21:59:00 1.3922 1.3927

2021-03-12 22:00:00 1.3922 1.3927

interval name=THIRTY_MINUTES value=PT30M

BID ASK

2021-03-12 21:56:00 1.3916 1.3921

2021-03-12 21:57:00 1.3919 1.3924

2021-03-12 21:58:00 1.3918 1.3923

2021-03-12 21:59:00 1.3922 1.3927

2021-03-12 22:00:00 1.3922 1.3927

interval name=SIXTY_MINUTES value=PT60M

BID ASK

2021-03-12 21:56:00 1.3916 1.3921

2021-03-12 21:57:00 1.3919 1.3924

2021-03-12 21:58:00 1.3918 1.3923

2021-03-12 21:59:00 1.3922 1.3927

2021-03-12 22:00:00 1.3922 1.3927

interval name=ONE_HOUR value=PT1H

BID ASK

2021-03-12 21:56:00 1.3916 1.3921

2021-03-12 21:57:00 1.3919 1.3924

2021-03-12 21:58:00 1.3918 1.3923

2021-03-12 21:59:00 1.3922 1.3927

2021-03-12 22:00:00 1.3922 1.3927

interval name=DAILY value=P1D

BID ASK

2021-03-08 1.3824 1.3828

2021-03-09 1.3893 1.3896

2021-03-10 1.393 1.3934

2021-03-11 1.399 1.3994

2021-03-12 1.3922 1.3927

interval name=SEVEN_DAYS value=P7D

BID ASK

2021-03-08 1.3824 1.3828

2021-03-09 1.3893 1.3896

2021-03-10 1.393 1.3934

2021-03-11 1.399 1.3994

2021-03-12 1.3922 1.3927

interval name=WEEKLY value=P1W

BID ASK

2021-03-08 1.3824 1.3828

2021-03-09 1.3893 1.3896

2021-03-10 1.393 1.3934

2021-03-11 1.399 1.3994

2021-03-12 1.3922 1.3927

interval name=MONTHLY value=P1M

BID ASK

2021-03-08 1.3824 1.3828

2021-03-09 1.3893 1.3896

2021-03-10 1.393 1.3934

2021-03-11 1.399 1.3994

2021-03-12 1.3922 1.3927

interval name=QUARTERLY value=P3M

BID ASK

2021-03-08 1.3824 1.3828

2021-03-09 1.3893 1.3896

2021-03-10 1.393 1.3934

2021-03-11 1.399 1.3994

2021-03-12 1.3922 1.3927

interval name=TWELVE_MONTHS value=P12M

BID ASK

2021-03-08 1.3824 1.3828

2021-03-09 1.3893 1.3896

2021-03-10 1.393 1.3934

2021-03-11 1.399 1.3994

2021-03-12 1.3922 1.3927

interval name=YEARLY value=P1Y

BID ASK

2021-03-08 1.3824 1.3828

2021-03-09 1.3893 1.3896

2021-03-10 1.393 1.3934

2021-03-11 1.399 1.3994

2021-03-12 1.3922 1.3927

rdp-api refinitiv-data-platform

Mar 14, 2021 at 01:22 PM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Answer 1 · 2021-03-16T09:44:31Z

Jirapongse

38.1k ●69 ●35 ●53

@gabriel.borrageiro.20

It looks like to be a bug as mentioned in this thread.

The workaround could be like the following.

endpoint = rdp.Endpoint(
    session = rdp.get_default_session(), # Optional
    url = "/data/historical-pricing/v1/views/intraday-summaries/JPY=")
response = endpoint.send_request(
    method = rdp.Endpoint.RequestMethod.GET,
    query_parameters={
        'interval': 'PT1H',        
        'count': 5,
        'summaryTimestampLabel': 'endPeriod'
    }
)
if response.is_success:
    headers = [h['name'] for h in response.data.raw[0]['headers']]
    df = pd.DataFrame(data=response.data.raw[0]['data'], columns=headers)
    display(df)

Mar 16, 2021 at 09:44 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

gabriel.borrageiro.20 Mar 17, 2021 at 07:32 AM

thanks, that appears to work.

gabriel.borrageiro.20 Apr 14, 2021 at 11:52 AM

any idea as to how one can specify an ending date / time?

this did work with rdp.HistoricalPricing.get_summaries():
end=datetime.utcnow()

it doesn't appear to work with the code you supplied.

I get an error message:

response.status

Out[12]:

{'http_status_code': 400,

'http_reason': 'Bad Request',

'error': {'id': 'bf914859-de80-476e-810c-5ab748c6b9a8',

'code': 'TS.Intraday.UserRequestError.90004',

'status': '400',

'message': 'Request Validation Error',

'errors': [{'key': 'end',

'reason': 'The request parameter validation failed. end is invalid format.',

'invalidValues': ['2021-04-14T11:43:57.132911']}]}}

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why do HistoricalPricing.get_summaries() with interval other than minutely or daily, not work?

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