lseg.data Python — Best practice for fetching London 00:00 baseline for OTC FX RICs

judesilva

I'm building an FX Cross-Currency Basis (CIP) dashboard in CodeBook using the lseg.data Python library. The dashboard needs to anchor a "Net Change since London 00:00" calculation across ~50 OTC RICs.

What's working

I've found that lseg.data.content.historical_pricing.summaries.Definition() works beautifully for OTC FX instruments at 1-minute resolution:

from lseg.data.content import historical_pricingreq = historical_pricing.summaries.Definition( universe="EUR1MV=", interval=historical_pricing.Intervals.MINUTE, start="2026-05-07T00:00:00", end="2026-05-07T00:05:00",)resp = req.get_data()df = resp.data.df

This returns the exact London 00:00 minute bar for FX outrights, swap points, spot, and even direct CBS RICs (GBPCBS3M=, JPYCBS3M=).

My questions

1. OIS rates are illiquid at 00:00 London — ~15 of my 49 RICs return empty at exactly 00:00 London because OIS doesn't quote overnight. Examples:

• EUREON1M=
• GBP1MOIS=
• CHF1MOIS=
• USD1MOIS=

What is the recommended approach? Should I:

• (a) Look back X minutes/hours until I find a quote?
• (b) Use the previous day's DAILY close as the baseline?
• (c) Use a specific fixing RIC I'm unaware of?

2. Why does ld.get_history() return empty for these RICs but historical_pricing.summaries works? Is there a documented difference in entitlements or data sources between the two paths?

3. Direct CBS RICs (GBPCBS3M=, JPYCBS3M=) — these work for GBP and JPY but most other G10 currencies return empty for sub-1Y tenors. Is this a data availability issue or am I using the wrong RIC family for, say, EUR or AUD short-tenor basis?

4. IPA cross module — I'm using lseg.data.content.ipa.financial_contracts.cross.Definition to compute live FX forwards (spot + swap points + outright). For the historical baseline, is there an IPA equivalent that lets me pass valuation_date="2026-05-07T00:00:00" to get the historical fair value, or is the historical_pricing.summaries approach the only path?

Environment

• LSEG Workspace + CodeBook
• lseg-data version 2.0.1
• Python 3.8

Any guidance from the LSEG team or other community members would be greatly appreciated.

Thanks!

Jirapongse

@judesilva

Thank you for reaching out to us.

1.It depends on whether you want to use the previous or the next available value.

For the previous available value, the code could be like this:

req = historical_pricing.summaries.Definition(
    universe=["EUREON1M=","GBP1MOIS=","CHF1MOIS=","USD1MOIS=","GBPCBS3M=","EUR1MV="],
    #fields = ["ASK","BID"],
    interval=historical_pricing.Intervals.MINUTE, 
    count=1, 
    end="2026-05-07T00:01:00"
)
resp = req.get_data()
df = resp.data.df

For the next available value, the code could look like this:

req = historical_pricing.summaries.Definition(
    universe=["EUREON1M=","GBP1MOIS=","CHF1MOIS=","USD1MOIS=","GBPCBS3M=","EUR1MV="],
    #fields = ["ASK","BID"],
    interval=historical_pricing.Intervals.MINUTE, 
    count=1, 
    start="2026-05-07T00:00:00",
    extended_params={"pinStart":True}  
)
resp = req.get_data()
df = resp.data.df

Then, we can reformat the data frame with the following code.

new_df_data = []
for item in df.columns.get_level_values(0).unique():
    entry = {}
    temp_df = df[item].dropna(how='all')
    entry["Instrument"]=item
    entry["Timestamp"]=temp_df.index[0]
    for label, content in temp_df.items():
        entry[label] = content.values[0]    
    new_df_data.append(entry)

import pandas as pd
pd.DataFrame(new_df_data)

For other specific RICs, please contact the content support team directly via LSEG Support.

2.For real-time fields, such as BID and ASK, the ld.get_history method retrieves data from the same endpoint (Historical Pricing) as the historical_pricing.summaries but the parameters may be different. However, the ld.get_history method can retrieve data for the TR field whild the historical_pricing can't. Please share the code when using the ld.get_history method.

3. For content related questions, please contact the content support team directly via LSEG Support.

4. For the IPA usage, please refer to this IPA Financial Contracts: FX Cross Contracts document or contact the Instrument Pricing Analytics - Delivery Platform support team directly via LSEG Support.