Retrieving historical exchange trading session times (open/close) per RIC

Question

hi!

I need historical trading session boundaries (market open/close times) for futures contracts across multiple exchanges (CME, Eurex, ASX, TSE, ICE) going back to the mid-1990s. Specifically, a per-RIC or per-exchange, per-date record of session open/close times in UTC that reflects what the hours actually were on a given past date — accounting for historical changes to exchange hours, early closes, and holidays.

Is this metadata available through any LSEG product or API? Ideally something accessible programmatically (REST, Python, etc.) rather than only through the desktop application. And does it provide point-in-time historical accuracy or only the current schedule?

thanks

Jirapongse · Answer

Yes, that code still works in the LSEG Data Library for Python.

from datetime import datetime
import lseg.data as ld
ld.open_session()

def mkt_hours_query(symbol):
    request_body={
        'universe': [symbol],
        'requestTime': datetime.utcnow().strftime("%Y-%m-%dT%H:%M:%SZ"),
        'columns': [
            {'id': '1',
            'field': 'avat',
            'blendedVenue': False,
            'filters': {'official': True},
            'averagingInterval': 20,
            'startTime': {'marketTime': True},
            'endTime': {'marketTime': True}}
        ]
    }

request = ld.delivery.endpoint_request.Definition(
        url = "https://api.refinitiv.com/data/analytics/average-volume-analytics/v2/request",
        method= ld.delivery.endpoint_request.RequestMethod.POST, 
            body_parameters= request_body)
    response = request.get_data()
    open_time_utc = datetime.strptime(response.data.raw['info'][symbol]['1']['startTime'], "%Y-%m-%dT%H:%M:%SZ").time()
    close_time_utc = datetime.strptime(response.data.raw['info'][symbol]['1']['endTime'], "%Y-%m-%dT%H:%M:%SZ").time()
    return open_time_utc, close_time_utc

mkt_hours_query('VOD.L')

The output is:

(datetime.time(8, 0), datetime.time(16, 40))

gino.cenedese · Answer

Thanks for the quick reply! My question is specifically about LSEG APIs, sorry it sounded more generic. I guess my question is related to this post, but this was posted years ago so I wonder if you have anything available on the LSEG Python API or other APIs:

unknown · Answer

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