-1
$\begingroup$

so I would download a bunch of intraday data, for a bunch of securities, but we keep hitting our monthly cap limit. We don't want to upgrade to a more expensive package as this is simply a research project we have underway.

Ideally, I am trying to map the volume weighted bid-ask spread through time on the market, however, to my knowledge, Bloomberg doesn't currently compile such fields that would make this easy. To construct it manually is pretty straight forward, grab the bid, ask, and volume tick data for the securities in question, and calculate the volume weighted bid and ask spread. Given the number of data points however, you can understand how data caps would be quickly hit.

Is there some way to write a formula that would run this daily, weekly, whatever calculation on the Bloomberg side before being sent the data as a single cell representing my calculation? Something like an SQL query or something? Or is this not possible?

Thanks for any help!

$\endgroup$
  • 1
    $\begingroup$ Have you tried asking Bloomberg support? What do they say? $\endgroup$ – Igor Pozdeev Apr 5 '18 at 15:03
  • $\begingroup$ there's also a vwap function - see here. $\endgroup$ – will Jul 4 '18 at 6:41
1
$\begingroup$

You can do this in VBA or Python. Bloomberg has a SDK (software development kit) and provides examples for how to download data. Ask Bloomberg support, they will give you further guidance.

$\endgroup$
0
$\begingroup$

Maybe using a custom CIX could be of benefit to you?

It allows you to define custom Bloomberg formulas on realtime and/or historical data.

$\endgroup$
0
$\begingroup$

Bloomberg does not provide such services but you may inquire. The solution is to use excel or R package to do the job in the background but you may hit your limit. In the end you may have to increase your limit.

$\endgroup$
0
$\begingroup$

Your calls are basically based on your number of fields times the number of tickers. There is no specific way to make this call smaller as far as i know. in your case you have "3 * x" calls. Maybe you just have too many tickers you want to look up, for the limit you have purchased

$\endgroup$

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.