diff options
Diffstat (limited to 'python/bbg_helpers.py')
| -rw-r--r-- | python/bbg_helpers.py | 7 |
1 files changed, 5 insertions, 2 deletions
diff --git a/python/bbg_helpers.py b/python/bbg_helpers.py index 45c2eba3..716ea56a 100644 --- a/python/bbg_helpers.py +++ b/python/bbg_helpers.py @@ -104,7 +104,7 @@ def process_intraday_tick_msg(msg): def retrieve_data(session, securities, fields=[], overrides={}, start_date=None, end_date=None, frequency="DAILY", - options={}): + options={}, event_types=["TRADE"]): """ Convenience function to retrieve data from the Bloomberg API. @@ -118,11 +118,14 @@ def retrieve_data(session, securities, fields=[], overrides={}, start_date : datetime.date end_date : datetime.date frequency : One of "DAILY", "MONTHLY", "QUARTERLY", "YEARLY" + event_types: list of string + (only "TRADE", "BID" and "ASK" events seem to be working). """ refDataService = session.getService("//blp/refdata") if isinstance(start_date, datetime.datetime) and start_date.time() != datetime.time(0): request = refDataService.createRequest("IntradayTickRequest") - request.getElement("eventTypes").appendValue("TRADE") + for et in event_types: + request.getElement("eventTypes").appendValue(et) request.set("includeConditionCodes", True) elif isinstance(start_date, datetime.date): request = refDataService.createRequest("HistoricalDataRequest") |