I was working on expanding/part 2 of this article on the LSEG Developer Portal, in which I send time-series data to a service that functions, in effect, as a calculator; this service is called ‘Instrument Pricing Analytics’, IPA. Specifically: I used the LSEG Data (LD) Python Library to send index price data and wanted to retrieve back Implied Volatilities.

While doing this, I once retrieved back a data frame filled with <NA>s and I had to troubleshoot it… But where to start?

In this short article, I look into my journey troubleshooting this step, in the hope that it’s of use to you!

Background

I used certain common libraries, such as Pandas, in addition to RD library functions:

You can already see traces of that service I mentioned, IPA, in the 4th line. FYI: Here we are using the LD Library (named the RD Library) version 1.0.0b24.

For more information on the configuration proccess (as per line 9 in the code above), please read this quickstart.

I then gathered data on two Options, a live one (‘2HSI16200L8.HF’) and an expired one (‘HSI19300N3.HF^B23’).

Content Layer

There happen to be three layers to the Data Library. The 1st, called the Access Layer, is the most user-friendly; the 2nd, the Content Layer, is less so, and the Delivery Layer simply sends data requests to LSEG Databases and returns datasets in their ‘rawest’ form — with no/few filters. Below, we will use the Content Layer:

I used VSCode and Intellisense to figure out which arguments were needed in `option.Definition`:

Intellisense is great to quickly write functions like this, however, as we will see soon, it’s not enough.

My code did not work… I kept getting errors:

How can I investigate such an issue?

What this Content Layer does is send request to LSEG’s back-end to a specific endpoint. One can see these endpoints on the API Playground:

How can you find the endpoint in question that you used? this is where ‘Logs’ come in:

Switching `Logs` On

You can switch on logs with the following code in Python:

You can also switch on logs with the configuration file. If we look into the configuration file used to authenticate ourselves to RD, we can change the “logs”>“transports” >”file”>”enabled” to true, giving us a log file in the path where we are running the Python code. The one produced from this on my machine was called 20240109–1353–11136-refinitiv-data-lib.log. It started with

[2024-01-10T10:59:21.083581+01:00] - [sessions.desktop.workspace.0] - [DEBUG] - [4772 - MainThread] - [_session_provider] - [session_provider] -  + Session created: DesktopSession

name = 'workspace'

connection = DesktopConnection

stream_auto_reconnection = True

handshake_url = http://localhos:9000/api/handshake

state = OpenState.Closed

session_id = 0

logger_name = sessions.desktop.workspace.0

You can check which session you are using, out of the Desktop and Platform session, on lign 8. More on these sessions here.

From there, I was looking for the JSON message sent to the IPA service. To find those, I looked for the last instance of api/rdp/data, since we’re looking into our last usage of the RDP API in our code. I looked for the last instance of this and found the request which started with the following:

url = http://localhos:9001/api/rdp/data/quantitative-analytics/v1/financial-contracts
method = POST
headers = {'Content-Type': 'application/json', ... }
json = {'universe': [{'instrumentType': 'Option', 'instrumentDefinition': ... 'ErrorMessage']}
[2024-01-10T10:59:21.083588+01:00] - [RetryTransportBase] - [DEBUG] - [13552 - MainThread] - [_retry_transport] - [_handle_request] - Sending request to http://localhos:9001/api/rdp/data/quantitative-analytics/v1/financial-contracts
[2024-01-10T10:59:23.670464+01:00] - [sessions.desktop.workspace.0] - [DEBUG] - [13552 - MainThread] - [http_service] - [request] - HTTP Response id 9
status_code = 200
text = {"headers":[{"type":"Float","name":"Strike"}, ... , {"type":"String","name":"ErrorMessage"}],"data":[[4200.0,4804.0,1.146,17195.84,"BlackScholes", ... ,"NaN","NaN","NaN",,"NaN","Unable to calculate the Implied Volatility."]]}

It is too long to show in full, but in line 1 & 5, you can clearly see the endpoint that was pinged. Here it’s `quantitative-analytics/v1/financial-contracts`.

API Playground

Coming back to the API Playground, we can now find all the documentation we’re after:

Lookinginto the examples given in the ‘Playground’ tab, I managed to construst a ‘body’ that gave some data similar to what I was after by ommiting data that I originally thought was useful. I could see the data returned by pressing on ‘SEND’:

The body that seem to give me some data was:

{
"instrumentType": "Option",
"instrumentDefinition": {
"buySell": "Buy",
"underlyingType": "Eti",
"instrumentCode": 'STXE42000D3.EX',
},
"pricingParameters": {
"marketValueInDealCcy": 4804,
"riskFreeRatePercent": 1.1460,
"underlyingPrice": 17195.84,
"pricingModelType": "BlackScholes",
"dividendType": "ImpliedYield",
"volatilityType": "Implied",
"underlyingTimeStamp": "Default",
"reportCcy": "HKD"
}
}

But what do we do now? Well, there are two options, you could go back to the Content Layer and change the relevent arguments, or use the Delivery Layer. I haven’t shown you how to use that yet, so let’s try it:

Delivery Layer

Batch of 100 requests no. 1/1 started

Batch of 100 requests no. 1/1 ended

Finding the objects to define your financial contract

Say you are looking for a way to define a Fixed Income instrument 'as of' a specific date; e.g.: AUSTRALIA, COMMONWEALTH OF (GOVERNMENT) bond AU9YT=RR priced with data from "2000-01-01". You could look into the IPA Documentation, and find `marketDataDate` under "Pricing Parameters"; you could then be tempted to use `pricing_parameters` in "Instrument Definition", but where is that exactly?

I thought it might be in `refinitiv.data.content.ipa.financial_contracts.bond.Definition`, so looked in there:

You can see that the `pricing_parameters` variable takes `PricingParameters` objects... but what's that?

Turns out you can find out more with a Ctrl + click on `Definition` on Visual Studio:

You will then be sent to the source code for `Definition`:

What's interesting here is the path, highlighted in red. You can navigate through the `PricingParameters` (shown in line 4 in the screenshot):

And you can now find the correct module for `PricingParameters`:

P.S.: Trial & Error Troubleshooting

I recently came uppon a second error returned from IPA, ''ErrorMessage" `Unable to calculate the Implied Volatility` and "ErrorCode" `QPS-Pricer.4011`.

I went through the technique above, and found the folowing test call totry out on the API Playground:

{

  "universe": [

    {

      "instrumentType": "Option",

      "instrumentDefinition": {

        "buySell": "Buy",

        "callPut": "Call",

        "underlyingType": "Eti",

        "instrumentCode": "STXE45500N4.EX",

        "strike": 4550

      },

      "pricingParameters": {

        "pricingModelType": "BlackScholes",

        "underlyingTimeStamp": "Default",

        "volatilityType": "Implied",

        "marketValueInDealCcy": 4534.61,

        "reportCcy": "EUR",

        "riskFreeRatePercent": 3.938,

        "underlyingPrice": 4534.61,

        "valuationDate": "2023-12-18T11:10:00Z"

      }

    }

  ],

  "fields": [

    "ErrorMessage",

    "ErrorCode",

    "MarketValueInDealCcy",

    "RiskFreeRatePercent",

    "UnderlyingPrice",

    "Volatility",

    "DeltaPercent",

    "GammaPercent",

    "RhoPercent",

    "ThetaPercent",

    "VegaPercent"

  ]

}

What I then did, on the Playground, was remove one (and only one) argument in . I found out, through this trial and error proccess that the the culprit was "marketValueInDealCcy".

Removing this argument showed that this option was trading at a much lower rate, making Greeks imposible to calculate.

References

Do not hesitate to ask any technical questions you may have about LSEG APIs on the LSEG Developer Comunity Q&A Forum. Please note, however, that this is a Forum aimed at answering technical questions only; for others (e.g.: content-related questions), please reach out to LSEG Support.

For documentation, training articles and videos and more on LSEG APIs, please visit the LSEG Developer Portal.