def spreadToBenchmarkHistory(isinBench: str, isin_list: list):
"""
define a benchmark bond and get spread to benchmark hiistory for bonds in hthe list.
input:
isinBench: the benchmark isin
isin_list: the benchmark isins list
output:
df: dataframe containing benchmark histories
"""
# remove benchmark from list
if isinBench in isin_list:
print('isin removed')
isin_list.remove(isinBench)
else:
print('isin not in bench')
# list of isins
isin_list_corp = [i + ' Corp' for i in isin_list]
print('here is the list: ', isin_list)
# fields
fieldList = 'blp_i_sprd_mid'
# start and end dates to use
dateToUseToday = datetime.date.today()
dateToUse2yAgo = dateToUseToday + datetime.timedelta(days=-365*2)
print('lets go between today and 2 years ago')
print('today:', dateToUseToday)
print('2y ago:', dateToUse2yAgo)
# request from bbg returning a MultiIndex DataFrame object - for the isin list
bondDataHist = blp.bdh(
tickers= isin_list_corp, flds=fieldList,
start_date=dateToUse2yAgo, end_date=dateToUseToday,
)
# request from bbg returning a MultiIndex DataFrame object - for the isin benchmark
benchDataHist = blp.bdh(
tickers= isinBench+ ' Corp', flds=fieldList,
start_date=dateToUse2yAgo, end_date=dateToUseToday,
)
# MultiIndex dataframe for spreads
spreadDataHist = bondDataHist.sub(benchDataHist[(isinBench+ ' Corp', 'blp_i_sprd_mid')], axis=0)
# print(spreadDataHist)
# rename columns
spreadDataHist.columns = isin_list
return spreadDataHist
def get_data_bdh(ticker, fields, start_date, end_date, override, legend_labels, sort):
"""
Downloads data using blp.bph
:param ticker: str/list, ticker(s) name(s)
:param fields: str/list, field(s) name(s)
:param start_date: datetime
:param end_date: datetime
:param override: dictionary (override_value: override_value)
:param legend_labels: list[string], your name for fields
:param sort: string, sort value if needed
:return: data to plot
"""
data = pd.DataFrame()
min_max_avg = [pd.DataFrame(), pd.DataFrame(), pd.DataFrame()]
final = []
for idx, field in enumerate(fields):
try:
temp = blp.bdh(tickers=ticker, flds=field, start_date=start_date, end_date=end_date, **override[idx])
except Exception as e:
temp = blp.bdh(tickers=ticker, flds=field, start_date=start_date, end_date=end_date)
data[legend_labels[idx]] = temp.iloc[-1].unstack()
min_max_avg[0][legend_labels[idx]] = temp[ticker].min().unstack()
min_max_avg[1][legend_labels[idx]] = temp[ticker].max().unstack()
min_max_avg[2][legend_labels[idx]] = temp[ticker].mean().unstack()
if sort == 'a':
data.sort_values(by=data.columns[0], axis=0, inplace=True, ascending=True)
if sort == 'd':
data.sort_values(by=data.columns[0], axis=0, inplace=True, ascending=False)
# print(min_max_avg[0])
for df in min_max_avg:
final.append(df.reindex(data.index))
return data, final
def Updatedb(Ticker,
Start="20000101",
End=pd.Timestamp.today().strftime("%Y%m%d")):
#print(len(Ticker), type(Ticker), Ticker)
if Ticker + ".csv" in os.listdir(
r"\\10.155.31.53\Share\Kelian\DATA\COMMO"): # Folder Location
#print("Got From DataBase")
Pointer = pd.read_csv(r"\\10.155.31.53\Share\Kelian\DATA\COMMO\\" +
Ticker + ".csv",
index_col=0)
if str(Pointer.index.max()) < End:
Pointer2 = blp.bdh(tickers=[Ticker],
start_date=str(Pointer.index.max()),
end_date=End)
if len(Pointer2[Pointer2.index > str(Pointer.index.max())]) != 0:
Pointer2 = Pointer2.iloc[1:, :]
Pointer2.index = Pointer2.index.strftime("%Y%m%d")
Pointer2.columns = [Ticker]
Pointer = pd.concat((Pointer, Pointer2), axis=0)
Pointer = Pointer[~Pointer.index.duplicated()]
Pointer.to_csv(r"\\10.155.31.53\Share\Kelian\DATA\COMMO\\" +
Ticker + ".csv",
index=True)
return Pointer
else: # Twice
Pointer = blp.bdh(tickers=[Ticker], start_date=Start, end_date=End)
Pointer.index = Pointer.index.strftime("%Y%m%d")
Pointer.columns = [Ticker]
Pointer.to_csv(r"\\10.155.31.53\Share\Kelian\DATA\COMMO\\" + Ticker +
".csv",
index=True)
return Pointer
def getHistoryFromISIN_list(isin_list: list):
''' function to get historic data from a list of isins '''
# list of isins
isin_list = [i + ' Corp' for i in isin_list]
print('here is the list: ', isin_list)
# fields
fieldList = 'blp_i_sprd_mid'
# start and end dates to use
dateToUseToday = datetime.date.today()
dateToUse2yAgo = dateToUseToday + datetime.timedelta(days=-365*2)
print('lets go between today and 2 years ago')
print('today:', dateToUseToday)
print('2y ago:', dateToUse2yAgo)
# request from bbg returning a MultiIndex DataFrame object
bondDataHist = blp.bdh(
tickers= isin_list, flds=fieldList,
start_date=dateToUse2yAgo, end_date=dateToUseToday,
)
return bondDataHist
def examples():
"""
examples of how to get basic data from bbg
"""
# get some data for a single name
x = blp.bdp('BDEV LN Equity', 'px_last')
print(x)
print('the type of x', type(x))
print('the value of x:', x.iloc[0]['px_last'])
# get multiple data for a single name
y = blp.bdp('BDEV LN Equity', flds=['px_bid', 'px_ask'])
print(y)
# get multiple data for multiple names
z = blp.bdp(tickers=['BDEV LN Equity', 'BARC LN Equity'],
flds=['px_bid', 'px_ask'])
print(z)
print('here is the bdev ask >>>', z.loc['BDEV LN Equity', 'px_ask'])
# get history data for a single name
print('getting history...')
todaydate = datetime.datetime.today()
historicDate = todaydate - datetime.timedelta(3 * 365)
print(todaydate, historicDate)
x = blp.bdh('BDEV LN Equity',
flds='px_last',
start_date=historicDate,
end_date='today')
print(x.head())
print(x.tail())
def getHistoryFromISIN(isin: str, fieldList: list):
'''
function that takes an isin as a string and returns a DataFrame for the ISIN
'''
# get dates to use (in the correct format)
dateToUseToday = datetime.date.today()
dateToUse2yAgo = dateToUseToday + datetime.timedelta(days=-365*2)
print('lets go between today and 2 years ago')
print('today:', dateToUseToday)
print('2y ago:', dateToUse2yAgo)
# fields that we want to get
fieldList = fieldList #['px_bid', 'px_ask', 'blp_i_sprd_mid']
#fieldList = ['blp_i_sprd_mid']
# request from bbg returning a MultiIndex DataFrame object
bondDataHist = blp.bdh(
tickers= isin+' Corp', flds=fieldList,
start_date=dateToUse2yAgo, end_date=dateToUseToday,
)
return bondDataHist
def get_relevant_data(tickers_list, date_start, date_end, data_source):
"""Get financial data from Bloomberg or Typhoon for a given set of underlying and type of data"""
if data_source == 'Bloomberg':
selected_data = blp.bdh(tickers=tickers_list, flds=['PX_LAST'],
start_date=date_start, end_date=date_end, adjust='all')
if not selected_data.empty:
selected_data.columns = selected_data.columns.droplevel(1)
return selected_data
def get_data_bdh(ticker, fields, start_date, end_date, override):
"""
"""
data = blp.bdh(tickers=ticker,
flds=fields,
start_date=start_date,
end_date=end_date,
**override)
data = data.T
data = data.unstack()
data = data.droplevel(0, axis=1)
return data
def get_hack_data():
df_IBOV = blp.bdh('BOVV11 BZ Equity', 'PX_LAST', '2017-12-29', '2021-04-30')
df_SP = blp.bdh('SPXI11 BZ Equity', 'PX_LAST', '2017-12-29', '2021-04-30')
df_IMAB = blp.bdh('IMAB11 BZ Equity', 'PX_LAST', '2017-12-29', '2021-04-30')
df_IRFM = blp.bdh('IRFM11 BZ Equity', 'PX_LAST', '2017-12-29', '2021-04-30')
df_IBOV.index = pd.to_datetime(df_IBOV.index)
df_SP.index = pd.to_datetime(df_SP.index)
df_IMAB.index = pd.to_datetime(df_IMAB.index)
df_IRFM.index = pd.to_datetime(df_IRFM.index)
df_IBOV = df_IBOV.pct_change().dropna()
df_SP = df_SP.pct_change().dropna()
df_IMAB = df_IMAB.pct_change().dropna()
df_IRFM = df_IRFM.pct_change().dropna()
df_IMAB_indice = blp.bdh('BZRFIMAB index', 'PX_LAST', '2017-12-30', '2019-05-20')
df_IMAB_indice.index = pd.to_datetime(df_IMAB_indice.index)
df_IMAB_indice = df_IMAB_indice.rename(columns ={'BZRFIMAB index' : 'IMAB11 BZ Equity'})
df_IMAB_indice = df_IMAB_indice.pct_change().dropna()
df_IMAB = pd.concat([df_IMAB_indice/1000, df_IMAB])
df_IRFM_indice = blp.bdh('BZRFIRFM Index', 'PX_LAST', '2017-12-30', '2019-09-23')
df_IRFM_indice.index = pd.to_datetime(df_IRFM_indice.index)
df_IRFM_indice = df_IRFM_indice.rename(columns ={'BZRFIRFM Index' : 'IRFM11 BZ Equity'})
df_IRFM_indice = df_IRFM_indice.pct_change().dropna()
df_IRFM = pd.concat([df_IRFM_indice/1000, df_IRFM])
df = pd.concat([df_IBOV, df_SP, df_IMAB, df_IRFM], axis = 1).dropna()
return df
def get_relevant_data(tickers_list, date_start, date_end, data_source):
"""Get financial data from Yahoo Finance for a given set of underlying and type of data"""
if data_source == 'Yahoo':
try:
raw_data = web.DataReader(name=tickers_list, data_source='yahoo', start=date_start, end=date_end)
selected_data = raw_data['Adj Close']
except RemoteDataError:
selected_data = pd.DataFrame(np.nan, index=[0], columns=tickers_list)
elif data_source == 'Bloomberg':
selected_data = blp.bdh(tickers=tickers_list, flds=['PX_LAST'],
start_date=date_start, end_date=date_end, adjust='all')
if not selected_data.empty:
selected_data.columns = selected_data.columns.droplevel(1)
return selected_data
def bdh(cls,
ticker,
flds='PX_LAST',
start_date='20200101',
end_date=None,
overrides=None):
"""
获取多时间序列数据
~~~~~~~~~~~~~~~~
d = BlpUtil.bdh('600570 CH Equity', flds='PX_LAST', start_date='2021-04-01')
"""
params = {
'tickers': ticker,
'flds': flds,
'start_date': start_date,
'end_date': cls.get_date_str(end_date)
}
params = params if overrides is None else dict(
list(params.items()) + list(overrides.items()))
df = blp.bdh(**params)
if df is not None and len(df) > 0:
df = df[ticker]
df = df.rename_axis('date').reset_index()
return df
def bdh(cusips, fecha):
datos = blp.bdh(cusips, ['PX_DIRTY_MID', 'YLD_YTM_MID'], fecha, fecha)
return datos
def run(self):
def reconstruct_price_data(price_data):
price_data = price_data.unstack().reset_index()
price_data.columns = ["bbg_ticker", "item_name", "date", "item_value"]
price_data["item_value"] = price_data["item_value"].astype("float")
price_data["date"] = price_data["date"].astype("datetime64[ns]")
return price_data
def adjust_start_end_date_based_on_trade_data(this_trade_df, price_data):
# halt flag dataframe
active_df = price_data[price_data["item_name"] == "volume"].copy()
active_df = active_df.dropna(subset=["item_value"])
active_stock = list(active_df["bbg_ticker"].drop_duplicates())
halt_list = [stock for stock in this_stock_list if stock not in active_stock]
halt_df = pd.DataFrame(index=halt_list).reset_index().rename(columns={"index": "bbg_ticker"})
halt_df["halt_flag"] = True
logger.info("Got Halt Flag")
# ipo or delist dataframe
start_end_date_df = active_df.groupby(["bbg_ticker"])["date"].agg(["min", "max"])
ipo_df = start_end_date_df[start_end_date_df["min"] != start_date].reset_index().rename(
columns={"min": "ipo_date"}).drop(columns="max")
delist_df = start_end_date_df[start_end_date_df["max"] != end_date].reset_index().rename(
columns={"max": "delist_date"}).drop(columns="min")
logger.info("Got IPO Date and Delist Date")
# ipo return
ipo_return_list = []
if not ipo_df.empty:
for ticker in list(ipo_df["bbg_ticker"].drop_duplicates()):
ipo_return = list(price_data[(price_data["item_name"] == "last_price") &
(price_data["bbg_ticker"] == ticker)].sort_values("date")[
"item_value"].dropna())[:2]
ipo_return = (ipo_return[-1] / ipo_return[0] - 1) * 100
ipo_return_list.append(ipo_return)
ipo_df["ipo_return"] = ipo_return_list
logger.info("Got IPO Return")
# get adjusted trade df
if not halt_df.empty:
this_trade_df = pd.merge(this_trade_df, halt_df, on=["bbg_ticker"], how="left")
this_trade_df["halt_flag"] = this_trade_df["halt_flag"].fillna(False)
else:
this_trade_df["halt_flag"] = False
if not ipo_df.empty:
this_trade_df = pd.merge(this_trade_df, ipo_df, on=["bbg_ticker"], how="left")
else:
this_trade_df["ipo_date"] = pd.NaT
this_trade_df["ipo_return"] = np.nan
if not delist_df.empty:
this_trade_df = pd.merge(this_trade_df, delist_df, on=["bbg_ticker"], how="left")
else:
this_trade_df["delist_date"] = pd.NaT
this_trade_df["trade_start_date"] = [trade_start_date if pd.isnull(ipo_date) else ipo_date
for trade_start_date, ipo_date
in np.array(this_trade_df[["trade_start_date", "ipo_date"]])]
this_trade_df["trade_end_date"] = [trade_end_date if pd.isnull(delist_date) else delist_date
for trade_end_date, delist_date
in np.array(this_trade_df[["trade_end_date", "delist_date"]])]
return this_trade_df
def get_beta(this_trade_df, price_data, funding_source):
stock_beta_df = price_data[(price_data["item_name"] == "beta_adj_overridable") &
(price_data["date"].isin(
list(this_trade_df["trade_start_date"].drop_duplicates())))].copy()
stock_beta_df = stock_beta_df[["bbg_ticker", "date", "item_value"]].rename(
columns={"item_value": "stock_beta",
"date": "trade_start_date"})
this_trade_df = pd.merge(this_trade_df, stock_beta_df, on=["bbg_ticker", "trade_start_date"], how="left")
fund_beta_df = stock_beta_df[stock_beta_df["bbg_ticker"] == funding_source].rename(
columns={"stock_beta": "fund_beta"})
this_trade_df = pd.merge(this_trade_df, fund_beta_df.drop(columns=["bbg_ticker"]), on=["trade_start_date"],
how="left")
return this_trade_df
def get_backtesting_returns(this_trade_df, price_data, funding_source, trade_start_date, trade_end_date):
this_return_df = this_trade_df[(this_trade_df["trade_start_date"] == trade_start_date) &
(this_trade_df["trade_end_date"] == trade_end_date) &
(this_trade_df["halt_flag"] == False)].copy()
if not this_return_df.empty:
this_ticker_list = list(this_return_df["bbg_ticker"].drop_duplicates())
this_price_data = price_data[(price_data["bbg_ticker"].isin(this_ticker_list + [funding_source])) &
(price_data["date"] >= trade_start_date) &
(price_data["date"] <= trade_end_date) &
(price_data["item_name"] == "last_price")].copy()
# calculate return [stock, funding, long_short]
this_pivot_return_df = pd.pivot_table(this_price_data, index="date", columns="bbg_ticker",
values="item_value")
this_pivot_return_df = this_pivot_return_df.pct_change()
this_pivot_return_df = this_pivot_return_df.fillna(0)
this_daily_stock_return_df = this_pivot_return_df.stack().reset_index().rename(columns={0: "daily_stock_return"})
this_daily_fund_return_df = this_daily_stock_return_df[this_daily_stock_return_df["bbg_ticker"] == funding_source].rename(
columns={"daily_stock_return": "daily_fund_return"})
this_pivot_return_df = (1 + this_pivot_return_df).cumprod() - 1
this_stock_return_df = this_pivot_return_df.stack().reset_index().rename(columns={0: "stock_return"})
this_fund_return_df = this_stock_return_df[this_stock_return_df["bbg_ticker"] == funding_source].rename(
columns={"stock_return": "fund_return"})
this_backtest_df = this_return_df[["trade_id", "bbg_ticker"]].copy()
this_backtest_df = pd.merge(this_backtest_df, this_daily_stock_return_df, on=["bbg_ticker"], how="left")
this_backtest_df = pd.merge(this_backtest_df, this_daily_fund_return_df.drop(columns=["bbg_ticker"]), on=["date"], how="left")
this_backtest_df = pd.merge(this_backtest_df, this_stock_return_df, on=["bbg_ticker", "date"], how="left")
this_backtest_df = pd.merge(this_backtest_df, this_fund_return_df.drop(columns=["bbg_ticker"]), on=["date"], how="left")
this_backtest_df[["stock_return", "fund_return", "daily_fund_return", "daily_stock_return"]] *= 100
this_backtest_df["long_short_return"] = this_backtest_df["stock_return"] - this_backtest_df["fund_return"]
# get date index
this_backtest_df = pd.merge(this_backtest_df, this_trade_df[["trade_id", "effective_date"]],
on=["trade_id"], how="left")
this_backtest_df["date_index"] = [np.busday_count(pd.Timestamp(effect_date).date(), pd.Timestamp(date).date())
for date, effect_date in np.array(this_backtest_df[["date", "effective_date"]])]
this_backtest_df = this_backtest_df.sort_values(["trade_id", "date_index"])
# calculate drawdown
this_backtest_df["roll_max_abs_return"] = this_backtest_df.groupby(["trade_id"])["stock_return"].cummax()
this_backtest_df["roll_max_ls_return"] = this_backtest_df.groupby(["trade_id"])["long_short_return"].cummax()
this_backtest_df["roll_abs_drawdown"] = this_backtest_df["stock_return"] - this_backtest_df["roll_max_abs_return"]
this_backtest_df["roll_ls_drawdown"] = this_backtest_df["long_short_return"] - this_backtest_df["roll_max_ls_return"]
this_backtest_df = this_backtest_df.drop(columns=["roll_max_abs_return", "roll_max_ls_return"])
else:
this_backtest_df = pd.DataFrame()
return this_backtest_df
trade_df_list = []
backtest_df_list = []
for date, start_date, end_date in np.array(self.trade_file[["effective_date",
"trade_start_date",
"trade_end_date"]].drop_duplicates()):
logger.info("Updateing Effective Date: " + pd.Timestamp(date).strftime("%Y-%m-%d"))
this_trade_df = self.trade_file[self.trade_file["effective_date"] == date].copy()
this_stock_list = list(this_trade_df["bbg_ticker"].drop_duplicates())
this_id_list = this_stock_list + [self.funding_source]
# get price_data from bloomberg from xbbg
price_data = blp.bdh(
tickers=this_id_list, flds=["last_price", "volume", "beta_adj_overridable"],
start_date=start_date.strftime("%Y-%m-%d"), end_date=end_date.strftime("%Y-%m-%d"),
)
logger.info("Got Price Data from BBG for Effective Date: " + date.strftime("%Y-%m-%d"))
# Reconstruct price_data
price_data = reconstruct_price_data(price_data=price_data)
logger.info("Reconstructed Price Data for Effective Date: " + pd.Timestamp(date).strftime("%Y-%m-%d"))
# Adjust Start End Date based on Halt Flag, IPO Date and Delist Date
this_trade_df = adjust_start_end_date_based_on_trade_data(this_trade_df=this_trade_df, price_data=price_data)
logger.info("Adjusted Trade Start End Date based on Halt Flag, IPO Date and Delist Date for Effective Date: " + pd.Timestamp(date).strftime("%Y-%m-%d"))
# get final trade dataframe with beta
this_trade_df = get_beta(this_trade_df=this_trade_df, price_data=price_data,
funding_source=self.funding_source)
trade_df_list.append(this_trade_df)
logger.info("Got Final Trade DataFrame with Beta for Effective Date: " + pd.Timestamp(date).strftime("%Y-%m-%d"))
# get backtesting returns
for trade_start_date, trade_end_date in np.array(this_trade_df[["trade_start_date",
"trade_end_date"]].drop_duplicates()):
this_backtest_df = get_backtesting_returns(this_trade_df=this_trade_df, price_data=price_data,
funding_source=self.funding_source,
trade_start_date=trade_start_date, trade_end_date=trade_end_date)
if not this_backtest_df.empty:
backtest_df_list.append(this_backtest_df)
logger.info("Got BackTesting Returns for Effective Date: " + pd.Timestamp(date).strftime("%Y-%m-%d"))
trade_df = pd.concat(trade_df_list, sort=True)
backtest_df = pd.concat(backtest_df_list, sort=True)
trade_df.to_csv(self.output_hsci_trade_file_path, index=False)
backtest_df.to_csv(self.output_hsci_backtest_file_path, index=False)
logger.info('''
Output Trade DataFrame to:
%s
Output BackTest DataFrame to:
%s
''' % (self.output_hsci_trade_file_path, self.output_hsci_backtest_file_path))
{k: v
for (k, v) in cma.val_dict.items()
if 'equity_us_name' in k}.values())))
equity_list = list(
filter(
None,
list(
{k: v
for (k, v) in cma.val_dict.items()
if 'equity_us_code' in k}.values())))
equity_dictionary = dict(zip(equity_list, equity_name_list))
# %%
equity_returns = blp.bdh(tickers=equity_list,
flds=data_return,
start_date=start_date_str,
end_date=end_date_str,
Per='M')
# Rename and reorder columns
equity_returns.columns = equity_returns.columns.droplevel(1)
equity_returns.columns = equity_returns.columns.map(equity_dictionary)
# Convert index to datetime
equity_returns.index = pd.to_datetime(equity_returns.index)
# Adjust dataframe for varying month end dates
equity_returns = equity_returns.resample('M', axis=0).mean()
# %% [markdown]
# ## Non-USD
con.start()
today = datetime.datetime.now()
s_date = '2011-01-01'
e_date = today
#read ticker list
names = ['Tickers']
tix = pd.read_csv("tickers.csv", names=names).values.tolist()
# create a global df for all prices. index needs to be created for begining of the month
global_index = pd.date_range(start=s_date, end=e_date, freq='W-FRI')
global_df = pd.DataFrame(index=global_index)
# %% bloomberg data requests
#create loop here for tickers in tix
for tt in tix:
test_temp = blp.bdh(tickers=tt,
flds=['last_price'],
start_date=s_date,
end_date=e_date,
Quote='G',
Per='W',
Fill='B',
Days='W')
#get the name for dataframe header
tick_name = blp.bdp(tickers=tt, flds=['Security_Name'])
header = str(tt).strip('[]')
test_temp.columns = [header]
#merge current df with global df
global_df = global_df.join(test_temp, how='outer')
global_df.to_csv('prices.csv')
Created on Thu Mar 19 14:12:16 2020
@author: HanaFI
"""
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
from scipy import stats
from xbbg import blp
stats.zscore(0.95)
Start = "20150101"
End = pd.to_datetime("today").strftime("%Y%m%d")
df = blp.bdh(tickers=["CO1 Comdty"], start_date=Start, end_date=End)
df.columns = ["CO"]
Ret = (np.log(df) - np.log(df.shift(1))).dropna()
def VaRCovariance(Ret, ZScore=1.65, Nominal=1000):
'''
Variance-Covariance Method
Z Score: 95%: 1.65, 99%: 2.33
Formula:
Mean - (zscore * PortStDev) * Nominal
'''
pd.DataFrame((ZScore * Ret[-252:].std()), columns=["VaR %"])
(ZScore * Ret[-252:].std()) * Nominal
import pandas as pd
import numpy as np
from xbbg import blp, pipeline
blp.__version__
blp.bdh(
tickers='SHCOMP Index', flds=['high', 'low', 'last_price'],
start_date='2019-11', end_date='2020', Per='W', Fill='P', Days='A',
)
cur_dt = pd.Timestamp('today', tz='America/New_York').date()
recent = pd.bdate_range(end=cur_dt, periods=2, tz='America/New_York')
pre_dt = max(filter(lambda dd: dd < cur_dt, recent))
pre_dt.date()
blp.bdtick('QQQ US Equity', dt=pre_dt).tail(10)
async for snap in blp.live(['ESA Index', 'NQA Index']):
print(snap)
cur_dt = pd.Timestamp('today', tz='America/New_York').date()
recent = pd.bdate_range(end=cur_dt, periods=2, tz='America/New_York')
pre_dt = max(filter(lambda dd: dd < cur_dt, recent))
fx = blp.bdib('JPY Curncy', dt=pre_dt)
jp = pd.concat([
blp.bdib(ticker, dt=pre_dt, session='day')
for ticker in ['7974 JP Equity', '9984 JP Equity']
], axis=1)
def init_histo(self, ticker, fields, startdate, enddate):
self.tick = ticker
self.histo_data = blp.bdh(tickers=ticker,
flds=fields,
start_date=startdate,
end_date=enddate)