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Querying intraday data
Primer on querying intraday data.

This page shows how to query intraday data on the SigTech platform.
Learn more: Example notebooks.

Environment

This section will import relevant internal and external libraries, as well as setting up the platform environment. For further information on setting up the environment, see Environment setup.
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import sigtech.framework as sig
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import datetime as dtm
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if not sig.config.is_initialised():
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env = sig.init()
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env[sig.config.CUSTOM_DATA_SOURCE_CONFIG] = [
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('[A-Z]{6} CURNCY', 'REFINITIV'),
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]
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Querying intraday data

All time series or static data is tied to a specific instrument or strategy object. These can be queried using the following script:
Learn more: Market Data Browser
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future = sig.obj.get('NGZ20 COMDTY')
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The method intraday_history_fields provides the available intraday time series:
Python
Output
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future.intraday_history_fields
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['LastPrice',
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'OpenPrice',
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'HighPrice',
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'LowPrice',
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'Volume',
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'OpenAsk',
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'CloseAsk',
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'HighAsk',
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'LowAsk',
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'OpenBid',
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'CloseBid',
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'HighBid',
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'LowBid',
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'NoBids',
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'NoAsks',
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'NoTrades',
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'NoZeroYields',
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'OpenBidSize',
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'CloseBidSize',
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'HighBidSize',
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'LowBidSize']
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The intraday data is available in a few different period time frames:
  • 1M
  • 5M
  • 10M
  • 1H
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future.intraday_history(field='LowPrice', period=dtm.timedelta(minutes=1)).dropna().iloc[4030:4050]
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