LSEG Data Python Cookbook

Handing sessions with a context manager¶

By default, the LSEG Data Library for Python expects you to open and close a session manually, typically done with the open_session and close_session functions.

This can lead to problems if you forget to close your session, and it can require you to write more code than you might like.

That can be avoided by using a context manager. Context managers allow you to create a block of code that is executed when you enter and exit a with statement. A common example from Python’s standard library is opening and closing a file like so:

with open("my_file.txt", "w") as f:
    f.write("Hello, world!")

Here’s how to create a custom context manager that will open and close a LSEG Data Library for Python session:

from contextlib import contextmanager

import lseg.data as ld


@contextmanager
def ld_session():
    """Context manager for handling a LSEG Data Library for Python session."""
    try:
        # Create a session and return it
        ld.open_session()
        yield
    finally:
        # Close the session
        ld.close_session()

Once that’s been introduced to your code, you can open a session by running the following code:

with ld_session():
    # Do whatever you want to do your `ld` session in the indent ...
    pass

Once the indent is removed, the session will be closed automatically. Here’s how you could use it to get the current price of Thomson Reuters stock:

with ld_session():
    df = ld.get_history('TRI.N')

df.head(5)

TRI.N	TRDPRC_1	HIGH_1	LOW_1	ACVOL_UNS	OPEN_PRC	BID	ASK	TRNOVR_UNS	VWAP	BLKCOUNT	BLKVOLUM	NUM_MOVES	TRD_STATUS	SALTIM	VWAP_VOL
Date
2025-09-18	160.56	169.32	160.52	64044	169.32	159.87	160.82	10493940	163.8552	<NA>	<NA>	1601	<NA>	71993	64044
2025-09-19	162.52	162.79	160.28	38953	161.855	162.23	163.62	6295321	161.6132	<NA>	<NA>	1013	<NA>	71997	38953
2025-09-22	163.03	163.09	161.12	27899	161.51	162.85	163.21	4517233	161.9138	<NA>	<NA>	777	<NA>	71998	27899
2025-09-23	160.79	163.02	160.44	15740	162.52	160.68	161.02	2542013	161.5002	<NA>	<NA>	474	<NA>	71998	15740
2025-09-24	157.71	160.83	157.6	25138	160.83	157.58	157.92	3997779	159.0333	<NA>	<NA>	599	<NA>	71985	25138