CODEWITHSUNDEEP
pythonexcelapibloomberg
thefinland
thefinland

Reputation: 65

Requesting intraday historical data via Bloomberg API in python

I'm wondering if anyone has been able to use the Bloomberg API within python to pull a piece of intraday historical data for a specific time. There are threads about pulling intraday data for given intervals (5,10,15 minute) but I'm looking to reference a specific time and date (e.g. 01/09/19 13:33:42) and pull the data at that time.

This is possible in excel via a formula with overrides like this:

BDH("AAPL US EQUITY","BID",(DATE + TIME)-0.01,(DATE + TIME)-0.0001,"IntrRw=True","points=1","SIZE=S","TYPE=H","DTS=H","TimeZone=new York","cols=2;rows=1")

Appreciate any thoughts or ideas.

I've been trying to use the xbbg on a simple data request just to figure out the syntax with no luck. Below is the date/time format I have when running this in excel but have no luck. Tried with all overrides in the above excel formula but no luck. 

from xbbg import blp
SPXLAST = blp.bdh(tickers='SPX INDEX',flds='PX_LAST',start_date='09-26-18 
14:30:25',end_date='09-26-18 14:30:25',TimeZone='New York')
print(SPXLAST)

Have been able to pull only EOD data but nothing for a specific intraday time.

Upvotes: 1

Views: 8765

Answers (1)

Mourad Barakat
Mourad Barakat

Reputation: 671

The blpapi is supported in Python. Here is a code snippet:

def sendIntradayTickRequest(session, options, identity = None):
refDataService = session.getService("//blp/refdata")
request = refDataService.createRequest("IntradayTickRequest")

# only one security/eventType per request
request.set("security", "IBM US Equity")

# Add fields to request
eventTypes = request.getElement("eventTypes")
eventTypes.appendValue("TRADE")
eventTypes.appendValue("BID")
eventTypes.appendValue("ASK")
# add more tick types

# All times are in GMT
request.set("startDateTime", "2019-01-15T14:40:00")
request.set("endDateTime", "2019-01-15T14:43:00")

# options
request.set("includeConditionCodes", True)
# add more optionals

print("Sending Request:", request)
session.sendRequest(request)

Upvotes: 1

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