I am very new with python, and I am used to work with bloomberg formulas for excel. I am starting to use a lot more python in my analysis, is there any library that performs same functions as bdp, bdh or bcurve? Thanks! Juan
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1$\begingroup$ You can't use BCurve or any other DLIB functions in python. Not even in Bloomberg BQNT environment. A good alternative would be to use QuantLib. You can build curves and value instruments just like DLIB. $\endgroup$– David DuarteCommented Jun 2, 2020 at 9:59
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1$\begingroup$ Bcurve is actually part of the curves toolkit (CTK) which is not related to DLIB. That said, the above comment is still correct. CTK, the swaps toolkit (STK) and the derivatives toolkit (DTK), cannot be used with blpapi (only premium data offerings would allow you to do this). $\endgroup$– AKdemyCommented May 29, 2021 at 12:31
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4 Answers
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I have experimented with various choices quite a bit.
My advice is to use vanilla blpapi . There are many good examples in the git repository. Some helpful installation notes are also here .
There are packages built on top, such as pdblp that, in my opinion, are very good but not required by most people.
answered May 6, 2020 at 16:56
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blpapi as mentioned it worth learning for sure. In addition to it, if you are looking to work with Pandas I would suggest using TIA: https://github.com/bpsmith/tia
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.
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I normally use pybbg which is also a wrapper for blpapi.
With a logged in Bloomberg session, just import it and start a connection
import pybbg as pybbg
bbg = pybbg.Pybbg()
Then you can use bdp, bdh, bds and bdih.
bdp
bbg.bdp('PGB 1.95 06/15/2029 Govt', ['MATURITY', 'COUPON', 'ISSUE_DT', 'YLD_YTM_MID'])
You can even query deals from SWPM...
pd.options.display.float_format = '{:,.2f}'.format
flds = ['SW_CURVE_DT', 'SW_MARKET_VAL', 'SW_CNV_BPV', 'VALUE_1_BP_CHANGE_IN_FIXED_CPN']
bbg.bdp('SLPA2EZJ Corp', flds)
...and provide overrides
flds = ['SW_CURVE_DT', 'SW_MARKET_VAL', 'SW_CNV_BPV', 'VALUE_1_BP_CHANGE_IN_FIXED_CPN']
overrides = {'SW_CURVE_DT': '20190507'}
bbg.bdp('SLPA2EZJ Corp', flds, overrides)
bdh
bbg.bdh('EUR Curncy', 'PX_LAST', '20200525')
bds
bbg.bds('YCSW0045 Index', 'CURVE_TENOR_RATES')
bdib
from datetime import datetime
flds = ['close', 'high', 'low', 'open']
ticker = 'PGB 1.95 06/15/2029 Govt'
bbg.bdib(ticker, flds, datetime(2020,6,1,15,0), datetime(2020,6,1,15,30), eventType='ASK', interval = 5)
answered Jun 2, 2020 at 8:50
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Ask your Bloomberg rep to enable you for BQNT access. They will push a Python instance to your machine and you can go to the terminal and run BQNT
You will get a Jupyter environment that can use Bloomberg data
