TR CONNECT

Thomson Reuters Python API provides a pythonic interface into several Thomson Reuters DBs.

• Worldscope Fundamentals
• Datastream Equity Pricing

Currently, Worldscope and Datastream are supported with I/B/E/S support coming soon.

Requirements

• numpy 1.7
• pandas 0.10+
• iopro 1.4.2+
• Valid TR Credentials:
• User ID
• Password
• Driver Path
• Server

Installation

The package is not yet designed for installation. Users can load the package by including the root level package directory path into their python scripts.

Usage

We recommend storing credentials in a json file (see basic_test.py and trkey.json for an example).

Example

    >>> from tr_connect import TR

    >>> #define or load credentials
    >>> creds = {"Uid": "XXXXXXXX", "Pwd": "XXXXXXXX", \
                "driver": "/usr/local/lib64/libsqlncli-11.0.so.1790.0", \
                "server": "XXX.XX.XXX.XXX,XXXX"}



    >>> #create tr  object
    >>> tr = TR(creds)

    >>> #single security-single measurement of 
    >>> ibm =  tr.query('IBM','ws.1751','Q')

    #Data Access
    >>>ibm.df #or ibm.data['ws.1751']
                       ws.1751
        1998-03-31  1031000000
        1998-06-30  1447000000
        1998-09-30  1489000000
        1998-12-31  2341000000
        1999-03-31  1465000000
        1999-06-30  2386000000

Queries

Queries to the Worldscope and Datastream DBs are prepended with ws. and ds. respectively.

#Datastream tr.query('security','ds.measure')

The Datastream DB stores daily open, high, low, close, etc. as such, frequency defaults to 'D'

Available measures from Datastream are (all measures are fully adjusted):

• high
• low
• open
• close
• volume
• bid
• ask
• vwap
• the volume-weighted average price for the day
• mosttrdprc
• the most-traded price
• consolvol
• the consolidated volume
• mosttrdvol
• the most-traded volume
• totalreturn
• the total return of the security, including dividends, distributions, and spinoffs.
• ohlc
• a convenience measure which returns open, high, low, and close

Example:

tr.query('MSFT', 'ds.vwap') retrieves the time-series history of VWAP for Microsoft.

#Worldscope tr.query('security','ws.measure','frequency') The measures available for Worldscope are found in the wsitem_data.csv file distributed with the library. The measure is a four digit number corresponding to the description found in the wsitem_data.csv file.

Example:

tr.query('IBM', 'ws.1001', 'Q') retrieves the time-series history of Net Sales or Revenues for IBM, on a quarterly basis.

Searching for IDs

QA Direct maintains a list of internal symbols for securities: QAIDs. Often these overlap with public ticker names but not always. We have provided basic search functionality for finding the QAIDs by searching QA Direct's ID and Name Columns.

#search id for like BMW tr.find_id('BMW')

#search for Names like Bayerische tr.find_name('Bayerische')

In both instances a dictionary of arrays of QAID, Country, and Name are returned

Design

Class Names are CamelCase Function Names are lower_case_underscore