def get_data_blp_intraday(self, daylag, minutes):
'''imports intraday data from bbg api, converts to dataframe '''
formattedPair = self.pair # +str(' Curncy')##removed this as what if you want a Comdty or Index?
event = 'TRADE'
#starting point, if BDay(-10), starts 10days ago for instance
#dt = pd.datetools.BDay(-dayLag).apply(pd.datetime.now())
delta = pd.datetools.BDay(-daylag).apply(self.endDate)
start = pd.datetime.combine(delta,
datetime.time(0, 0)) #time(hour, minute)
#endDay = datetime.date(2017,12,3)
#end = pd.datetime.combine(endDay, datetime.time(23, 30))
end = self.endDate
print(end)
intraDayDf = LocalTerminal.get_intraday_bar(
formattedPair, event, start, end, interval=minutes).as_frame()
#f.set_index('time') wrong
intraDayDf = intraDayDf.set_index('time')
return intraDayDf
from tia.bbg import LocalTerminal
import tia.bbg.datamgr as dm
import datetime
import pandas as pd
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)
pxs = LocalTerminal.get_historical(members, 'PX_LAST') f = pxs.as_frame() f.columns = f.columns.get_level_values(0) # Show first 5 rows for last 5 days f.iloc[:5, -5:] ######################### ##Intraday Tick Request## ######################### import datetime sid = 'VOD LN EQUITY' events = ['TRADE', 'AT_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(13, 35)) f = LocalTerminal.get_intraday_tick(sid, events, start, end, include_condition_codes=True).as_frame() f.head() ######################## ##Intraday Bar Request## ######################## 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()