Simple wrapper for blpapi library to Pandas. Resembles BDH, BDP and BDS Bloomberg-Excel functions for historical data. Can only be used in a logged Bloomberg Terminal. Requires blpapi.
To install blpapi, run in cmd
python -m pip install --index-url=https://bcms.bloomberg.com/pip/simple/ blpapi- Securities and fields must be passed as lists.
- Overrides (if any) must be passed as dict.
- For a complete list of fields and overrides, use FLDS when loading a security in Bloomberg.
- Output is a DataFrame. Tickers as index, fields as column names.
from bloomberg import BDP
#Securities and fields must be passed as a list
securities = ['AAPL US Equity','C US Equity']
#For a complete list of available fields, use FLDS when loading a security in Bloomberg.
fields = ['NAME', 'GICS_INDUSTRY_NAME', 'CRNCY_ADJ_PX_LAST']
df_bdp = BDP(securities, fields)
#Example with overrides
override = {'EQY_FUND_CRNCY':'EUR'}
df_bdp_override = BDP(securities, fields, override)df_bdp
| Index | NAME | GICS_INDUSTRY_NAME | CRNCY_ADJ_PX_LAST |
|---|---|---|---|
| AAPL US Equity | APPLE INC | Technology Hardware, Storage & | 157.44 |
| C US Equity | CITIGROUP INC | Banks | 54.87 |
df_bdp_override
| Index | NAME | GICS_INDUSTRY_NAME | CRNCY_ADJ_PX_LAST |
|---|---|---|---|
| AAPL US Equity | APPLE INC | Technology Hardware, Storage & | 144.321 |
| C US Equity | CITIGROUP INC | Banks | 50.2979 |
- Securities and fields must be passed as lists.
- Overrides (if any) must be passed as dict.
- For a complete list of fields and overrides, use FLDS when loading a security in Bloomberg.
- Output is a multiindex DataFrame. Tickers as first row index, fields as second row index. Column index contains dates.
- Complete list of settings can be found in the "BLPAPI Core Developer Guide", section "15.4. BDH(): HISTORICAL “END-OF-DAY” DATA (STATIC)".
import datetime
from bloomberg import BDH
#Securities and fields must be passed as a list
securities = ['AAPL US Equity','C US Equity']
#For a complete list of available fields, use FLDS when loading a security in Bloomberg.
fields = ['PX_LAST', 'PX_VOLUME']
# Dates are used in %Y%m%d format (e.g. 20220306 for March 6th 2022).
# Suggested use is with datetime:
date_ini = datetime.date(2021,6,1).strftime("%Y%m%d")
date_end = datetime.date(2021,6,30).strftime("%Y%m%d")
#Settings
# Complete list of settings can be found in the "BLPAPI Core
# Developer Guide", section "15.4. BDH(): HISTORICAL “END-OF-DAY” DATA (STATIC)"
settings = {"periodicityAdjustment":"ACTUAL",
"periodicitySelection":"DAILY",
"startDate": date_ini,
"endDate": date_end,
"nonTradingDayFillOption":"NON_TRADING_WEEKDAYS",
"nonTradingDayFillMethod":"PREVIOUS_VALUE",
}
df_bdh = BDH(securities, fields, settings)df_bdh.head(5)
| Ticker | AAPL US Equity | AAPL US Equity | C US Equity | C US Equity |
|---|---|---|---|---|
| Field | PX_LAST | PX_VOLUME | PX_LAST | PX_VOLUME |
| date | ||||
| 2021-06-01 | 124.28 | 67637118.0 | 79.76 | 15450506.0 |
| 2021-06-02 | 125.06 | 59278862.0 | 79.86 | 15285588.0 |
| 2021-06-03 | 123.54 | 76229170.0 | 79.63 | 22255785.0 |
| 2021-06-04 | 125.89 | 75169343.0 | 79.49 | 13806958.0 |
| 2021-06-07 | 125.90 | 71057550.0 | 79.31 | 12670074.0 |
- Securities must be passed as a list. Only accepts 1 field.
- Overrides (if any) must be passed as dict.
- For a complete list of fields and overrides, use FLDS when loading a security in Bloomberg.
- If a single security is passed, output is a DataFrame. Otherwise, output is a dictionary containing DataFrames. Indices depend on securities and fields consulted.
import datetime
from bloomberg import BDS
#Securities and fields must be passed as a list:
securities = ['YCSW0042 Index', 'YCSW0141 Index']
# Only accepts 1 field.
# For a complete list of available fields, use FLDS when loading a security in Bloomberg.
fields = ['CURVE_TENOR_RATES']
df_bds = BDS(securities, fields)
#Example with overrides:
# Dates are used in %Y%m%d format (e.g. 20220306 for March 6th 2022).
# Suggested use is with datetime:
date = datetime.date(2021,6,12).strftime("%Y%m%d")
override = {'CURVE_DATE':date}
df_bds_override = BDS(securities, fields, override) df_bds['YCSW0042 Index'].head(5)
| Tenor | Ticker | Ask Yield | Mid Yield | Bid Yield | Last Update | |
|---|---|---|---|---|---|---|
| 0 | 1D | FEDL01 Index | 0.080 | 0.080 | 0.080 | 2022-03-08 |
| 1 | 1W | USSO1Z BGN Curncy | 0.155 | 0.133 | 0.111 | 2022-03-08 |
| 2 | 2W | USSO2Z BGN Curncy | 0.237 | 0.230 | 0.224 | 2022-03-08 |
| 3 | 3W | USSO3Z BGN Curncy | 0.275 | 0.265 | 0.255 | 2022-03-08 |
| 4 | 1M | USSOA BGN Curncy | 0.291 | 0.287 | 0.284 | 2022-03-08 |
df_bds_override['YCSW0042 Index'].head(5)
| Tenor | Ticker | Ask Yield | Mid Yield | Bid Yield | Last Update | |
|---|---|---|---|---|---|---|
| 0 | 1D | FEDL01 Index | 0.060 | 0.060 | 0.060 | 2021-06-11 |
| 1 | 1W | USSO1Z BGN Curncy | 0.071 | 0.067 | 0.063 | 2021-06-11 |
| 2 | 2W | USSO2Z BGN Curncy | 0.073 | 0.070 | 0.067 | 2021-06-11 |
| 3 | 3W | USSO3Z BGN Curncy | 0.075 | 0.067 | 0.059 | 2021-06-11 |
| 4 | 1M | USSOA BGN Curncy | 0.074 | 0.070 | 0.066 | 2021-06-11 |
- Security and event must be passed as strings. Only accepts 1 security and event.
- Outputs a DataFrame object. Index are dates and times.
- Columns are:
- OPEN: Open price of bar.
- HIGH: Highest price of bar.
- LOW: Lowest price of bar.
- CLOSE: Last price of bar.
- TICKS: Number of ticks in bar.
- VOLUME: Volume traded in bar.
- Settings (optional): Complete list and descripion can be found in the "BLPAPI Core Developer Guide", section "15.6. BDH()/BRB(): INTRADAY BAR DATA (STATIC/SUBSCRIPTION)".
import datetime
from bloomberg import BDHIB
#Security and Event must be passed as strings.
security = "USDPEN Curncy"
#Event can be TRADE, BID or ASK.
eventType = "TRADE"
#lenght of each time-bar in minutes. Must be an integer between 1 and 1,440 (24 hours).
interval = 5
#Start and end points must be passed as datetime objects.
startDateTime = datetime.datetime(2022, 5, 25, 0, 0, 0)
endDateTime = datetime.datetime(2022, 5, 28, 0, 0, 0)
#gapFillInitialBar (optional): If true, forces an initial bar on startDateTime with last price avaiable. Default is False.
gapFillInitialBar = True
#settings (optional) must be passed as dict. Complete list and descripion of settings can be found in the BLPAPI Core Developer Guide,
#section 15.6. BDH()/BRB(): INTRADAY BAR DATA (STATIC/SUBSCRIPTION).
# settings = {'adjustmentSplit':True,
# 'adjustmentAbnormal':True,
# 'adjustmentNormal': True,
# 'adjustmentFollowDPDF': True}
df_bdhib = BDHIB(security, eventType, interval, startDateTime, endDateTime, gapFillInitialBar)df_bdhib.head(5)
| OPEN | HIGH | LOW | CLOSE | TICKS | VOLUME | |
|---|---|---|---|---|---|---|
| 2022-05-25 00:00:00 | 3.7039 | 3.7039 | 3.7039 | 3.7039 | 0 | 0 |
| 2022-05-25 09:05:00 | 3.7075 | 3.7075 | 3.7030 | 3.7030 | 5 | 0 |
| 2022-05-25 09:10:00 | 3.7018 | 3.7051 | 3.7000 | 3.7025 | 12 | 0 |
| 2022-05-25 09:15:00 | 3.7025 | 3.7025 | 3.7001 | 3.7001 | 3 | 0 |
| 2022-05-25 09:20:00 | 3.7001 | 3.7026 | 3.6986 | 3.7026 | 11 | 0 |