Querying intraday data
Primer on querying intraday data.
This page shows how to query intraday data on the SigTech platform.
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.
import sigtech.framework as sig
import datetime as dtm
if not sig.config.is_initialised():
env = sig.init()
env[sig.config.CUSTOM_DATA_SOURCE_CONFIG] = [
('[A-Z]{6} CURNCY', 'REFINITIV'),
]
All time series or static data is tied to a specific instrument or strategy object. These can be queried using the following script:
future = sig.obj.get('NGZ20 COMDTY')
The method
intraday_history_fields provides the available intraday time series:Python
Output
future.intraday_history_fields
['LastPrice',
'OpenPrice',
'HighPrice',
'LowPrice',
'Volume',
'OpenAsk',
'CloseAsk',
'HighAsk',
'LowAsk',
'OpenBid',
'CloseBid',
'HighBid',
'LowBid',
'NoBids',
'NoAsks',
'NoTrades',
'NoZeroYields',
'OpenBidSize',
'CloseBidSize',
'HighBidSize',
'LowBidSize']
The intraday data is available in a few different
period time frames: - 1M
- 5M
- 10M
- 1H
future.intraday_history(field='LowPrice', period=dtm.timedelta(minutes=1)).dropna().iloc[4030:4050]
Last modified 1yr ago