1 files changed, 71 insertions, 0 deletions
diff --git a/python/load_loanprices_data.py b/python/load_loanprices_data.py
new file mode 100644
index 00000000..8f1d42bb
--- /dev/null
+++ b/python/load_loanprices_data.py
@@ -0,0 +1,71 @@
+import blpapi
+import sys
+
+# Fill SessionOptions
+sessionOptions = blpapi.SessionOptions()
+sessionOptions.setServerHost('192.168.1.108')
+sessionOptions.setServerPort(8194)
+session = blpapi.Session(sessionOptions)
+
+# Start a Session
+if not session.start():
+    print "Failed to start session."
+    sys.exit(0)
+
+if not session.openService("//blp/refdata"):
+    print "Failed to open //blp/refdata"
+    sys.exit(0)
+
+refDataService = session.getService("//blp/refdata")
+request = refDataService.createRequest("ReferenceDataRequest")
+fields = ["PX_LAST","LAST_UPDATE_DT","ISSUER","MATURITY","CPN","CPN_TYP",
+          "CPN_FREQ","FLT_SPREAD","LIBOR_FLOOR","LN_CURRENT_MARGIN",
+          "LN_COVENANT_LITE","SECOND_LIEN_INDICATOR","DEFAULTED", "PRICING_SOURCE"]
+
+# append securities to request
+cusips=set([])
+with open("/home/share/CorpCDOs/data/bbgcusips.txt") as fh:
+    cusips = [line.rstrip() for line in fh]
+cusips = set(cusips)
+for cusip in cusips:
+    request.append("securities", "{0} Corp".format(cusip))
+
+# append fields to request
+for field in fields:
+    request.append("fields", field)
+
+session.sendRequest(request)
+
+data = []
+try:
+    # Process received events
+    while(True):
+        # We provide timeout to give the chance to Ctrl+C handling:
+        ev = session.nextEvent(500)
+        if ev.eventType() in [blpapi.Event.PARTIAL_RESPONSE, blpapi.Event.RESPONSE]:
+            for msg in ev:
+                data.append(msg)
+            # Response completely received, so we could exit
+        if ev.eventType() == blpapi.Event.RESPONSE:
+            break
+finally:
+    # Stop the session
+    session.stop()
+
+i=0
+data2=[]
+for msg in data:
+    if msg.messageType() == blpapi.Name("ReferenceDataResponse"):
+        securityDataArray = msg.getElement("securityData")
+        for securityData in securityDataArray.values():
+            i+=1
+            securityName = securityData.getElementValue("security")
+            fieldData = securityData.getElement("fieldData")
+            row = {}
+            for fieldName in fields:
+                try:
+                    fieldValue = fieldData.getElementValue(fieldName)
+                    row[fieldName] = fieldValue
+                except blpapi.NotFoundException:
+                    row[fieldName] = None
+            data2.append(row)