Bid and ask prices, total bid and ask amounts

1）I am preparing to calculate the average spread of a certain currency pair. I need to query the historical and current latest bid and ask prices for this currency pair. Which API should I call? What will be the request input and the response return?
2）I need to query the total buy and sell amounts of a certain currency pair within the historical and recent one-minute time ranges. Which API should I call? What will the request parameters and response return look like?

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Jirapongse

@jeffrey

Thank you for reaching out to us.

The question was posted in the FX Venues / FX Market Data forum.

Could you please confirm the product that you are using? Is it LSEG Workspace?

jeffrey

I apologize, I have an account on LSEG Workspace, but as a beginner, I am not sure if I can view the bid price, ask price, and trading volume through LSEG Workspace. Could you please tell me how to confirm if I have the necessary permissions?

Jirapongse

@jeffrey

For LSEG Workspace, you can use the LSEG Data Library for Python to retrieve data through the LSEG Workspace session. There are a lot of examples and tutorials available on GitHub.

You need to modify the configuration to use the "desktop.workspace" session.

    "sessions": {

        "default": "desktop.workspace",

Then, you need to specify the application key. You can use the App Key Generator in LSEG Workspace to generate application keys.

        "desktop": {

            "workspace": {

                "app-key": "YOUR APP KEY GOES HERE!"

            }

Moreover, there are a lot of examples available in the CodeBook app in LSEG Workspace.

To check the permission, you need to run the code to retrieve data or contact your LSEG account team or sales team direclty.

jeffrey

Sorry, I still can't understand your previous reply. Let me try to ask in a different way.

I have learned that I can use the Streaming Service of the API or a specific Tick History service to obtain historical quote data, and receive a record stream similar to the following:

If my understanding above is correct, how can I subscribe to historical quotation data? Which specific interface should I use? Is there any interface documentation available for my reference?
I have learned that I can subscribe to more advanced Level 2 Market Data or Full Book data services. These services provide transaction data records that, in addition to price and quantity, usually include a field for the initiating party (Aggressor Side). I receive a record stream similar to the following:

If my understanding above is correct, could you please advise me on how to subscribe to historical transaction data? Which specific interface should I use? Is there an interface documentation available for my reference?

I am eagerly anticipating your invaluable feedback. Thank you.

Jirapongse

@jeffrey

To get historical data, you can use the ld.get_history method. You can ignore the fields parameter to retrieve all available real-time fields. For example:

df = ld.get_history(
    universe = ['EURCNH=R'],
    interval = 'tick')
df

Yes, the Tick History REST API can also be used to retrieve historical data. Please refer to the Tick History Tutorials and Postman example.

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