import blpapi import sys import pandas as pd from contextlib import contextmanager import logging import datetime logger = logging.getLogger(__name__) BBG_IP = ['192.168.9.61', '192.168.9.65', '192.168.0.10', '192.168.0.12'] @contextmanager def init_bbg_session(ip_list, port=8194): sessionOptions = blpapi.SessionOptions() sessionOptions.setServerPort(port) for ip in ip_list: # Start a Session sessionOptions.setServerHost(ip) session = blpapi.Session(sessionOptions) if not session.start(): logger.info("Failed to open session with {0}".format(ip)) continue try: if not session.openService("//blp/refdata"): raise NameError("Failed to open //blp/refdata") logger.info("Logged in on {0}".format(ip)) yield session break except NameError as e: logger.error(str(e)) raise finally: session.stop() def append_overrides(request, d): overrides = request.getElement('overrides') for k, v in d.items(): o = overrides.appendElement() o.setElement("fieldId", k) if isinstance(v, datetime.date): o.setElement("value", "{0:%Y%m%d}".format(v)) else: o.setElement("value", v) def event_loop(session, request): session.sendRequest(request) # 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: yield msg # Response completely received, so we can exit if ev.eventType() == blpapi.Event.RESPONSE: return def get_pythonvalue(e): if e.datatype() in [blpapi.DataType.DATE, blpapi.DataType.DATETIME]: return pd.to_datetime(e.getValue()) elif e.datatype() == blpapi.DataType.ENUMERATION: return e.getValueAsString() else: return e.getValue() def field_array_todf(field): df = pd.DataFrame.from_dict([{str(e.name()): get_pythonvalue(e) for e in f.elements()} \ for f in field.values()]) if "date" in df: df = df.set_index('date') return df def process_historical_msg(msg): securityData = msg.getElement("securityData") securityName = securityData.getElementValue("security") fieldData = securityData.getElement("fieldData") return {securityName: field_array_todf(fieldData)} def process_reference_msg(msg): data = {} if msg.hasElement('responseError'): logger.error(msg.getElement('responseError').toString()) return None securityDataArray = msg.getElement("securityData") for securityData in securityDataArray.values(): securityName = securityData.getElementValue("security") row = {} fieldData = securityData.getElement("fieldData") for field in fieldData.elements(): if not field.isValid(): logger.info("Invalid field: {0}".format(str(field))) elif field.isArray(): row[str(field.name())] = field_array_todf(field) #to convert dates to timestamps else: row[str(field.name())] = get_pythonvalue(field) data[securityName] = row return data def process_intraday_tick_msg(msg): _, tickdata = msg.getElement("tickData").elements() return field_array_todf(tickdata) def retrieve_data(session, securities, fields=[], overrides={}, start_date=None, end_date=None, frequency="DAILY", options={}): """ Convenience function to retrieve data from the Bloomberg API. Parameters ---------- session : blpapi session securities : list or string list of tickers (with type, e.g.: ['CADUSD Curncy', '38145BAA9 Mtge'] fields: list or string list of fields start_date : datetime.date end_date : datetime.date frequency : One of "DAILY", "MONTHLY", "QUARTERLY", "YEARLY" """ 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") request.set("includeConditionCodes", True) elif isinstance(start_date, datetime.date): request = refDataService.createRequest("HistoricalDataRequest") request.set("periodicitySelection", frequency) else: request = refDataService.createRequest("ReferenceDataRequest") if options: for k, v in options.items(): request.set(k, v) if request.asElement().name() == blpapi.Name("IntradayTickRequest"): if isinstance(securities, list): raise TypeError("For intraday requests, we can only handle one security") else: request.set("security", securities) else: if isinstance(securities, list): for security in securities: request.append("securities", security) else: request.append("securities", securities) if isinstance(fields, list): for field in fields: request.append("fields", field) else: request.append("fields", fields) if overrides: append_overrides(request, overrides) if start_date: if request.asElement().name() == blpapi.Name("IntradayTickRequest"): request.set("startDateTime", start_date) if end_date: request.set("endDateTime", end_date) else: request.set("startDate", f"{start_date:%Y%m%d}") if end_date: request.set("endDate", f"{end_date:%Y%m%d}") data = {} for msg in event_loop(session, request): if msg.messageType() == blpapi.Name("ReferenceDataResponse"): data.update(process_reference_msg(msg)) elif msg.messageType() == blpapi.Name("HistoricalDataResponse"): data.update(process_historical_msg(msg)) elif msg.messageType() == blpapi.Name("IntradayTickResponse"): data.update(process_intraday_tick_msg(msg)) if request.asElement().name() == blpapi.Name("IntradayTickRequest"): df = pd.DataFrame(data) if 'time' in df: df.time = df.time.dt.tz_localize('UTC').dt.tz_convert('America/New_York') return df else: return data if __name__=="__main__": testdate = pd.datetime(2013, 1, 1) hist_securities = ['CADUSD Curncy', "EURUSD Curncy"] hist_fields = ['PX_LAST'] securities = ['004421BW2 Mtge', '75157EAE2 Mtge', 'XS0295516776 Mtge'] fields = ['CUR_CPN', 'START_ACC_DT'] with init_bbg_session(BBG_IP) as session: hist_data = retrieve_data(session, securities, hist_fields, start_date=testdate, frequency="MONTHLY") overrides={'SETTLE_DT': testdate} ref_data = retrieve_data(session, securities, fields, overrides=overrides) struct_data = retrieve_data(session, securities, ["HIST_CASH_FLOW"]) spx_ndx_monthly = retrieve_data(session, ["SPX Index","NDX Index"], fields=["PX_LAST"], start_date=datetime.date(2012, 1, 1), options={'periodicityAdjustment': 'ACTUAL'}, frequency="MONTHLY") trace_data = retrieve_data(session, "BNCMT 2007-1 A5@TRAC Mtge", start_date=datetime.datetime(2016, 5, 18, 9), end_date=datetime.datetime(2017, 5, 18, 9))