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Retrieve Historical and Real-Time Intraday Tick Data from MetaStock's Xenith / Thomson Reuters' Eikon for use in Matlab or Python

Background:

Like IQFeed and eSignal, MetaStock is another popular market data feed provider. It seems to have better support for API than the other feed providers. They call their data feed product Xenith, which is just a cheaper, down grade version of Thomson Reuters Eikon. You download the software from Reuters website. The name Xenith only appears on Eikon after you log-on. From this, I assume that whatever works for Eikon must work for the Xenith version of Eikon.

2015b version of Matlab support data connection to Eikon. It seems to work only over 32 bit version of Matlab according to some forum post. (I couldn’t get it to work even with the proper version of Matlab installed) The Matlab Eikon Toolbox is obsoleted in the 2016a version of Matlab. Probably due to their decision to no longer support 32-bits environment starting from 2016 (i.e, 2015b is the last version of Matlab with 32-bit version). Here’s the documentation of the obsoleted Matlab’s Eikon toolbox: [url removed, login to view]

Both Eikon and Xenith are relatively new products. I couldn’t find much useful Python code. The closest one is this package [url removed, login to view] created by Reuter themselves. I couldn’t gain access to the documentation (if any). Do I don’t know how to utilize it. But even if it works, it is only available for Python 3. I need it to work on Python 2.7 as well.

There’s also the MetaStock Developer's Kit. I’m not sure if this kit is good for Xenith or just for their charting software. Haven’t looked into it yet. [url removed, login to view]

Here’s what I’ll need:

• Matlab/Python functions to retrieve Historical Intraday Tick Data from Xenith/Eikon

• Matlab/Python functions to retrieve Real-time Intraday Tick Data from Xenith/Eikon

Suggested functions to implement:

1. treikon Thomson Reuters Eikon connection

2. getdata Retrieve current market data from Thomson Reuters Eikon

3. history Retrieve historical data from Thomson Reuters Eikon

4. realtime Retrieve real-time data from Thomson Reuters Eikon

5. start Start Thomson Reuters Eikon real-time data retrieval

6. stop Stop Thomson Reuters Eikon real-time data retrieval

7. chain Retrieve chain data from Thomson Reuters Eikon

The target system is

• Matlab 2016a

• Python [url removed, login to view] :: Anaconda 2.4.0 (64-bit)

• Windows 7 (64-bit) OS

• SPNativeAPI version [url removed, login to view] beta

Note:

• Do let me know how you are planning to approach the problem.

• You will be provided with Xenith/Eikon account to experiment with.

• I'll need all source code and they must be compilable on the target system.

• Please let me know rather you will provide a Matlab solution, Python solution, or both.

I've inquired Metastock about their SDK. They said their SDK does not support Xenith/Eikon. Told me to contact Reuters directly.

Searching around I seem to have found two solutions. One opensource and one official from Reuters.

Opensource: https://www.nuget.org/packages/ThomsonReuters.Desktop.SDK.DataAccess.Signed/1.8.1

Official (need to register first but anyone can register).
https://developers.thomsonreuters.com/eikon-com/eikon-desktop-data-api

Someone suggested wrapping the dlls for use in Matlab (should work for Python too): https://community.developers.thomsonreuters.com/questions/6631/client-question-we-would-like-to-make-use-of-data.html

I guess all is left now is to create Python/Matlab wrappers for the dlls.

Skills: Matlab and Mathematica, Python

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