How do you Download Bloomberg intraday data

Question

How do you get intraday 1 minute data from Bloomberg please? I want bid & ask for 5 futures saved as a data frame please.

Thanks.

Answer 1

You can use xbbg:

In [1]: from xbbg import blp

In [2]: blp.bdib(ticker='SPY US Equity', dt='2019-01-17').tail()
Out[2]:
ticker                    SPY US Equity
field                              open   high    low  close   volume num_trds
time
2019-01-17 15:57:00-05:00        262.82 262.92 262.70 262.88   644947     2744
2019-01-17 15:58:00-05:00        262.87 262.89 262.77 262.86   713451     3152
2019-01-17 15:59:00-05:00        262.87 263.05 262.74 263.00  2248033     5616
2019-01-17 16:09:00-05:00        262.96 262.96 262.96 262.96        0        1
2019-01-17 16:15:00-05:00        262.96 262.96 262.96 262.96        0        1

Answer 2

Dan, if you are looking to work with Pandas I would suggest using TIA: https://github.com/bpsmith/tia

You mentioned you are working with Python 3. At the moment, TIA is only compatible with Python 2, but here https://github.com/bpsmith/tia/issues/11 has a Python 3 conversion. I've been using this recently and it's pretty good. An example:

from tia.bbg import LocalTerminal
import tia.bbg.datamgr as dm
import datetime

sid = 'IBM US EQUITY'
event = 'TRADE'
dt = pd.datetools.BDay(-1).apply(pd.datetime.now())
start = pd.datetime.combine(dt, datetime.time(13, 30))
end = pd.datetime.combine(dt, datetime.time(21, 30))
f = LocalTerminal.get_intraday_bar(sid, event, start, end, 
interval=60).as_frame()
f.head(1)

      close     high    low   numEvents   open      time                value   volume
0   162.2500    162.70  161.51  4005    162.4900    2015-02-24 14:30:00  110345672  680888

The github link above has loads of examples, too.

Answer 3

I believe you are looking for the Intraday 1-minute bar data, Open, High, Low, Close, etc. You will need to use IntradayBarRequest to //blp/refdata service.

Revised answer:

Send two IntradayBarRequest's, one for BID and the other for ASK event type, with interval = 1 minute to //blp/refdata service. Extract the "Open" element from each data point in response message(s).

IntradayBarRequest = {
    security = "IBM UN Equity"
    eventType = BID
    startDateTime = 2019-02-13T00:00:00.000
    endDateTime = 2019-02-14T23:59:59.000
    interval = 1
    gapFillInitialBar = false
    adjustmentNormal = false
    adjustmentAbnormal = false
    adjustmentSplit = false
    adjustmentFollowDPDF = false
}

Sample data point:

barTickData = {
    time = 2019-02-13T14:30:00.000
    open = 136.45
    high = 136.87
    low = 136.25
    close = 136.76
    volume = 91
    numEvents = 45
    value = 12424.061
}

See the IntradayBarExample code example in the SDK.