How to download efficiently intraday data with Bloomberg API?

Question

I'm downloading intraday bar data using Bloomberg API and C#.

I have adapted the official Bloomberg c# "IntradayBarExample” to suit my needs.

However downloads are really slow, I found this post recommending to use a dedicated EventQueue instead of calling NextEvent() on a Session object. But the improvement is not really detectable.

As illustration, you can download the 5Min Bar – Best Bid Event- of the last 100 days for AAL UW Equity ticker, it takes very long time to obtain at the end not so much data (< 1Mo).

Did you face the same problem ?

Answer 1

As suggested by assylias I have modified my code to run requests in several threads. In case you need to do so, these are some valuable informations :

1- Create a thread-safe request procedure and assign differents requestID to your requests. Pass these arguments to processResponseEvent via the eventloop function. This will allow you to make a check regarding the message you are receiving by using a simple condition:

            if (msg.CorrelationID != requestID)
            {
                System.Console.WriteLine("WRONG ID ");
                return;
            }

2- Make your request in parallel, meaning you enclosed the aforementioned request in a loop such as :

     WaitHandle[] waitHandles = new WaitHandle[numOfThreads];
        for (int i = 0; i < numOfThreads; i++)
        {
            var j = i;
            var handle = new EventWaitHandle(false, EventResetMode.ManualReset);
            var thread = new Thread(() =>
            {
                 /// CALL HERE YOU REQUEST PROCEDURE FROM STEP 1

                handle.Set();
            });
            waitHandles[j] = handle;
            thread.Start();
        }
        foreach (var ee in waitHandles)
            ee.WaitOne();

At the end it won't increase the waiting time for each request but since your are performing a bunch of them together you'll still save a LOT of time.

Ps: you can use the variable i (from for (int i = 0; i < numOfThreads; i++)) as requestID.