LSEG Data Library for Python

Built with Pandora

EventTypes

The list of market events, supported event types are trade, quote, and correction.

Name Value Description
TRADE "trade" Use only trade market events.
QUOTE "quote" Use only quote market events.
CORRECTION "correction" Use only correction market events.

Usage

The following example demonstrates how to create a historical pricing events definition object for LSEG.L which retrieves the 20 most recent events for "trade" event type only.

from lseg.data.content import historical_pricing
from lseg.data.content.historical_pricing import EventTypes

definition = historical_pricing.events.Definition(universe="LSEG.L", event_types=EventTypes.Trade)
64 words (0:20 mins)