Can I get historical Bid/Ask 1~10 intraday data (full orderbook data) using eikon python API?
If possible, please tell me methods.
Thank you.
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@su-chang How long history are you looking for? For any deep history you would need to use our Refinitiv Tick History product. Historical full orderbook data is not available in Eikon. Please speak to your Refintiv account representative or University Staff - who can arrange a trial if your institution is interested.
You can get a current snapshot of the orderbook as follows but this might also depend on whether you subscribe to receive Level 2 or orderbook data from the exchange:
fields = []
for i in range(1, 10):
fields.append('BEST_BSIZ' + str(i))
fields.append('BEST_BID' + str(i))
fields.append('BEST_ASK' + str(i))
fields.append('BEST_ASIZ' + str(i))
fields = fields + ['BEST_BSZ10', 'BEST_BID10', 'BEST_ASK10', 'BEST_ASZ10']
df,err = ek.get_data('VOD.LO',fields)
df
I hope this can help.
