This code is running on Python version 3.7.7

We need to gather our data. Since Refinitiv's DataStream Web Services (DSWS) allows for access to ESG data covering nearly 70% of global market cap and over 400 metrics, naturally it is more than appropriate. We can access DSWS via the Python library "DatastreamDSWS" that can be installed simply by using pip install.

The libraries in the cell below are  native to Python.

The libraries in the cell below are not native to Python - id est (i.e.): they are not installed upon Python's installation. This means that they have their own version independently of Python's version used.

The dateutil library imported in this code is version: 2.8.1
The np library imported in this code is version: 1.18.5
The pd library imported in this code is version: 1.1.4

Collecting Data: A Simple Example 

1st: We have to specify our list of fields. In this example, we have:

• EVT1FD12: Enterprise Value's ForwarD contract with 12 month maturity (12FRW).
• EBT1FD12: Earnings Before Taxes' 12FRW.
• EBD1FD12: Earnings Before Depreciation and amortisation's 12FRW.
• X(CPS1FD12)*X(IBNOSH): product of the Cashflow Per Share amount's 12FRW and the Institutional Brokers Estimate Service( i.e.: I/B/E/S pulled from datastream's estimate data)'s Number Of Shares.
• X(MV)~IBCUR: Market Value IBES currency.
• PEFD12: market share Price to Equity ratio's 12FRW.
• SAL1FD12: SALes' 12FRW.
• X(BPS1FD12)*X(IBNOSH): product of the Book value Per Share's 12FRW and the Institutional Brokers Estimate Service's Number Of Shares.

The '  ~USD ' is there to revert the Currency to United States Dollars.

N.B.: X is the variable, so X(...)*X(...) means that we multiply them

Now that we know the fields that we want to capture, we will ask for DSWS to collect such data for all constituents of the MSCI World Index. We need to do a few changed to the mnemonics/tickers used in the DSWS function ' ds.get_data ':

• We need to add an 'L' at the start to indicate that we are requesting for the list of the constituents of the index.
• We need to remove '$' as it is not recognised by the backend. We need to remove all currency symbols for this to work.
• We need to add the month and year (in mmyy format) at the end to specify the point in time that we are trying to replicate. This means that we are capturing data for the list of constituents of that index on that month.
• We need to add '|L' at the end to indicate to the DSWS service that we are requesting data for a list, not a single object.

N.B.: start = '2013-08-31' collects data from August 2013. If someone was to use ds.get_data("LMSWRLD0313|L", start = '2014-08-31'), they'd be collecting data starting in August 2014 for the constituents listed under the MSWRLD index back in March 2013.

Now that we have stored the data we are looking for in the Python object 'df', we can sort through it:

1608 rows × 4 columns

There are a lot of repeated values, let's use ' .unique() ' to only retrieve unique values within the 'Instrument' column:

1608 rows × 4 columns

X(EVT1FD12)~USD

10479.682

Creating Python Function to programmatically collect data

Example setting 'track_progress' and 'add_to_global_DF' to True

Note that - in this example - we made sure to normalize all currency-denominated values to the same currency (USD), otherwise taking the median value of different currencies wouldn't make much sense.

LMSWRLD0113|L
LMSWRLD0213|L
LMSWRLD0313|L

LS&PCOMP0113|L
LS&PCOMP0213|L
LS&PCOMP0313|L

43452 rows × 4 columns

You can find information inscribed inbetween the triple double quotes (*i.e.*:""" """) above with the Python functino ' help() ':

Help on function DSWS_Median_Index_Data in module __main__:

DSWS_Median_Index_Data(indices=['MSWRLD'], list_of_fields=['X(EVT1FD12)~USD', 'X(EBT1FD12)~USD', 'X(EBD1FD12)~USD', 'X(CPS1FD12)~USD*X(IBNOSH)', 'X(MV)~USD', 'PEFD12', 'X(SAL1FD12)~USD', 'X(BPS1FD12)~USD*X(IBNOSH)'], start='2013-01-01', end='2021-01-31', track_progress=False, add_to_global_DF=False)
' DSWS_Median_Index_Data ' requests data defined in ' list_of_fields ' from Datastream's API - DataStream Web
Services (DSWS) - for a series of indices of choice - defined in 'indices' - and returns three lists full of Pandas data-frames:
1st - the raw output from the requests (with columns 'Instrument', 'Datatype', 'Value' and 'Dates');
2nd - the monthly median from the raw output from the requests (with columns of the requested metrics and an index of dates);
3rd - the raw data pulled from the DSWS request (and where issues are most likely to lie).

One could re-write this basing themselves off datetime objects, it would be equivalent; its code may look neater too.

indices (list): List of strings of the DSWS mnemonic for the index for which data is requested.
Default: indices = ["MSWRLD"]

list_of_fields (list): List of strings of the DSWS fields we are after. This has to be comprised of 49 elements or less.
Don't include non numerical fields like 'GDSCN'. That will result in a printed error
Default: list_of_fields = ['EVT1FD12', 'EBT1FD12', 'EBD1FD12', 'X(CPS1FD12)*X(IBNOSH)', 'X(MV)~IBCUR', 'PEFD12', 'SAL1FD12', 'X(BPS1FD12)*X(IBNOSH)', '(X(SAL1FD12)*X(IBUNIT))', '354E(X)', 'X(INC1FD12)*X(IBUNIT)', 'X(FCF1FD12)*X(IBNOSH)', 'X(FCF1FD12)*X(IBNOSH)*X(IBUNIT)', 'GDSCN']

start (str): String of the start date from which we are asking for data in 'yyy-mm-dd' format.
Default: start = '2013-01-01'

end (str): String of the end date until which we are asking for data in 'yyy-mm-dd' format.
Default: end = '2021-01-31'

track_progress (Boolean): If set to True, the ' DSWS_Median_Index_Data ' function will print out each mnemonic requested of DSWS
Default: track_progress = False


track_progress (Boolean): If set to True, each string of the transformed index will be printed off - remember that there is one per month.
Default: track_progress = False

add_to_global_DF (Boolean): If set to True, on top of returning the 3 lists of Pandas data-frames described above, this function will append lists named DF, _DF, and debug_df.
This does mean that you need to include a line such as 'DF, _DF, debug_df = [], [], []' beforehand as a result.
Default: add_to_global_DF = False

References

You can find more detail regarding the DSWS API and related technologies for this article from the following resources:

• DSWS page on the Refinitiv Developer Community web site.
• DSWS API Quick Start Guide page.
• DSWS Tutorial page.
• DSWS API Python Reference Guide.

For any question related to this example or Eikon Data API, please use the Developers Community Q&A Forum.