Pull live EURESTOIS data via Python API

winston

Hello,

We pull the 0#EURESTOISZ=R curve to reconstruct Benchmark Rate of Return.

An issue we found last week on the 14th – EURESTOIS dropped significantly during the day. This was showing on the WS app, but we did not see the same results when pulling it live via Python API.

I was hoping you could clarify whether there is an inherent delay when accessing data through the Python API, and if there is a way to retrieve fully real-time data when the code is executed.

Attached sample code below:

import lseg.data as ld

ESTR_CHAIN_RIC = '0#EURESTOISZ=R'

ld.open_session()

raw = ld.get_data(
universe = [ESTR_CHAIN_RIC],
fields = ['CF_LAST', 'CF_ASK', 'MATUR_DATE', 'DSPLY_NAME']
)

Thanks in advance for your help!

Jirapongse

@winston

Thank you for reaching out to us.

The attached code is used to retrieve a snapshot of data.

You may need to add the 'CF_TIME' field to get the time of the data.

raw = ld.get_data(
    universe = [ESTR_CHAIN_RIC],
    fields = ['CF_LAST', 'CF_ASK', 'MATUR_DATE', 'DSPLY_NAME','CF_TIME']
    )

To retrieve real0time streaming data, you need to refer to the PriceStreaming example.

First, you need to expand this chain RIC.

from lseg.data.discovery import Chain
chain = Chain('0#EURESTOISZ=R')
rics = chain.constituents

Then, subscribe to retrieve real-time streaming data.

 stream = ld.open_pricing_stream(
    universe=rics,
    fields =['CF_LAST', 'CF_ASK', 'MATUR_DATE', 'DSPLY_NAME','CF_TIME'],
    on_data=display_data
)