4
$\begingroup$

For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this doesn't seem to be possible for intraday data. Again, the export works perfectly using the Excel API for any frequency except intraday.

I have selected both 'intraday bars' and 'intraday ticks' without success. I did in the end find the data as a plot, but can only export it as an image file, which doesn't help.

Am I doing something wrong or is this kind of data not available for download? Is intraday data perhaps only available for specific exchanges? If this is the case, what are possible alternative sources? Could the fact that I am using a university terminal be a problem? Does Bloomberg differentiate between different licenses?

$\endgroup$
  • $\begingroup$ Bloomberg, and market data vendors in general, are very protective of their data (it's their product). They do their utmost to prevent it from being extracted out of their systems. Sometimes they do this because of third-party obligations to exchanges, who have similar commercial interests in preventing the unrestricted distribution of their data, but mostly they do it because providing data to external systems is a revenue source for them. In short: yes, you can data out of the BBG terminal - but only if your pay them for the privilege. They're usually more open to academic usage. $\endgroup$ – Dan Bron Nov 26 '14 at 22:13
  • $\begingroup$ If you managed to get daily data there is no reason you can't get intraday data. Can you post the formula you are using? $\endgroup$ – assylias Nov 26 '14 at 22:38
  • $\begingroup$ The Bloomberg add-in comes with a few simple import data examples in the Excel Bloomberg bar that can help. If those don't work, help/help (pressing help twice in Excel or the Terminal) will get you to live Bloomberg chat. They can be very useful. $\endgroup$ – rhaskett Nov 26 '14 at 22:48
  • $\begingroup$ @DanBron, I don't know if I made this clear, but I already have a subscription to the paid service with an academic terminal as well as the Excel API set up which work perfectly. It is only for intraday data that the export doesn't seem to work. Hence my question: Does this type of data have any special kind of protection or require a specific type of subscription? Do I have to export it in a different way than I export data of lower frequencies. $\endgroup$ – Constantin Nov 26 '14 at 23:02
8
$\begingroup$

None of the previous answers have mentioned the fact that Bloomberg supports an API with support for

  • all the main languages (C, C++, Java, Python, Perl -- and even Node and Haskell support on GitHub),
  • on all the relevant operating systems: Windows, Linux, OS X, Solaris.

This includes support for tick data which is stored in a rolling window (ie from today backwards for a given number of days, IIRC this number is 140).

Now, the usage terms are well known: You are generally not allowed to take the data retrieved this way off the machine on which you have the license. I.e. no further distribution even within your office.

But for the narrow question of "can I programmatically access Tick Data from Bloomberg", the answer is a clear "yes".

Edit: So now at work, here is a quick example from inside an R session:

R> library(Rblpapi)
R> con <- blpConnect()
R> head( res <- getBars(con, "CLA Comdty"))
                     open  high   low close numEvents volume
2014-11-28 03:46:00 68.62 68.83 68.36 68.57      4960   6226
2014-11-28 04:46:00 68.56 69.33 68.49 69.05      8147  10356
2014-11-28 05:46:00 69.05 69.47 68.80 68.92      8757  11398
2014-11-28 06:46:00 68.90 69.31 68.80 68.98      6271   7642
2014-11-28 07:46:00 68.98 69.62 68.88 69.27     12022  14963
2014-11-28 08:46:00 69.27 69.59 69.01 69.33     23881  28821
R> 

I set this up to use most default values:

  • hourly bars, which could be changed to any multiple of minutes
  • start and end time derived from current time (which was 8:33 when I ran that)
  • a given contract (here using the Crude Oil front contract, which made some news overnight)
  • default connection attributes

returning an xts container, and implemented as a simple wrapper around the C++ API.

$\endgroup$
  • $\begingroup$ So you are saying data at intraday frequency (I don't actually want to use tick data, but time intervals of, minutes or hours for example) would be available through APIs other than the Excel API? Why would there be a distinction between (1) the Excel API and the other APIs, and (2) between daily and intraday frequency? $\endgroup$ – Constantin Nov 27 '14 at 22:55
  • $\begingroup$ Yes, there is. You can also get 'bars' at any multiple of one minute - - there are also example libraries. I don't use Excel but the core API libraries provide the functionality accessed by the different language / API layers. Hope this helps, I can follow-up with an example from work. $\endgroup$ – Dirk Eddelbuettel Nov 28 '14 at 13:40
  • $\begingroup$ Hi @DirkEddelbuettel do you know if the usage of this API counts towards your usage allowance in a similar way as the Excel API? Thanks $\endgroup$ – Nikos Nov 28 '14 at 14:55
  • $\begingroup$ I tried to address in one paragraph in my original answer: "Now, the usage terms are well known: You are generally not allowed to take the data retrieved this way off the machine on which you have the license. I.e. no further distribution even within your office." So, yes, I expect this to count towards the same data cap / subscription terms you already have. Bloomberg gives the API away, the data remains very much their business so you need to pay and remain in compliance. $\endgroup$ – Dirk Eddelbuettel Nov 28 '14 at 14:59
2
$\begingroup$

The answer to your question probably depends on the type of the security you want to query the data from, their vendor (not Bloomberg, the original vendor) and your license with Bloomberg.

I don't remember having no access to intraday data, but I remember having limited history for sure (more data implied more fees as far as I can remember).

But in general, @rhaskett's comment is really the best thing we can advise, just use Bloomberg's help. They will know (or they'll find out what's wrong) and if they can't help you then there is little chance we can.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.