Prerequisites

• Make sure that blpapi is installed correctly. It should be imported without any errors.

import blpapi

• async_blp uses python async framework. If you're unfamiliar with it, have a look at async tutorial here

General principles

• async_blp, following Bloomberg API, supports two paradigms: request-response and subscription. You can read more about their differences and use cases in Bloomberg API Core developer guide here

• For performance reasons, async_blp does not close sessions automatically when it is done processing requests. It allows us to reuse sessions for subsequent requests and reduce overhead. However, as each session is run in its own thread, it means that the whole application will not finish running until there is at least one opened session left. To stop the sessions and to allow your application to finish, use await bloomberg.stop (see examples)

Reference data request

Provides the current value of a security/field pair.

Input: list of securities, list of fields

Output: tuple consisting of two objects:

• pd.DataFrame object, where each row is a single security and each column is a field
• BloombergError object containing security and field errors, if any has occurred during request

import asyncio
import async_blp

async def blp_example():
    bloomberg = async_blp.AsyncBloomberg()

    data, _ = await bloomberg.get_reference_data(['F US Equity'], ['PX_LAST'])

    # it is important to wait until Bloomberg successfully closes all the sessions
    await bloomberg.stop()

    return data

if __name__ == '__main__':
    data = asyncio.run(blp_example())
    print(data)

Output[]:
              PX_LAST
F US Equity    8.806

Historical data request

Provides end-of-day data over a defined period of time for a security/field pair.

Input: list of securities, list of fields, period start date, period end date

Output: tuple consisting of two objects:

• pd.DataFrame object with Multindex consisting of date and security and columns as fields
• BloombergError object containing security and field errors, if any has occurred during request

import asyncio
import datetime as dt
import async_blp


async def blp_historical_example():
    security_id = 'F US Equity'
    field = 'PX_LAST'
    start_date = dt.date(2019, 1, 1)
    end_date = dt.date(2019, 3, 1)

    bloomberg = async_blp.AsyncBloomberg()

    data, errors = await bloomberg.get_historical_data([security_id],
                                                       [field],
                                                       start_date,
                                                       end_date)

    await bloomberg.stop()

    return data, errors

if __name__ == '__main__':
    data = asyncio.run(blp_historical_example())
    print(data)

Output[]:
                           PX_LAST
date       security           
2019-01-05 F US Equity     NaN
2019-01-06 F US Equity     NaN
2019-01-07 F US Equity    8.29
2019-01-08 F US Equity    8.37
2019-01-09 F US Equity    8.72
2019-01-10 F US Equity    8.67
2019-01-11 F US Equity    8.82
2019-01-12 F US Equity     NaN

Security Lookup Request

The Security Lookup (a.k.a. Instrument Lookup) request constructs a search based upon the "query" element's string value, as well as the additional filters that you set, such as the yellow key and language override elements.

Input: query, max desirable number of results, additional options in a dict

Output: tuple consisting of two objects:

• pd.DataFrame object where each row is one security with security and description columns
• empty BloombergError object

import asyncio
import async_blp


async def blp_security_lookup_example():
    bloomberg = async_blp.AsyncBloomberg()

    data, _ = await bloomberg.security_lookup('Ford', max_results=10)

    await bloomberg.stop()

    return data

if __name__ == '__main__':
    data = asyncio.run(blp_security_lookup_example())
    print(data)

Output[]:
                security                                        description
0        FORD US<equity>                      Forward Industries Inc (U.S.)
1                F<corp>        Ford Motor Credit Co LLC (Multiple Matches)
2           F US<equity>                 Ford Motor Co Common Shares (U.S.)
3  F CB USD SR 30Y<corp>      Ford Motor Co Generic Benchmark 30Y Corporate
4  F GB USD SR 30Y<corp>      Ford Motor Co Generic Benchmark 30Y Corporate
5  F CB USD SR 10Y<corp>  Ford Motor Credit Co LLC Generic Benchmark 10Y...
6  F GB USD SR 10Y<corp>  Ford Motor Credit Co LLC Generic Benchmark 10Y...
7   F CB USD SR 3Y<corp>  Ford Motor Credit Co LLC Generic Benchmark 3Y ...
8   F GB USD SR 3Y<corp>  Ford Motor Credit Co LLC Generic Benchmark 3Y ...
9   F CB USD SR 5Y<corp>  Ford Motor Credit Co LLC Generic Benchmark 5Y ...

Subscription

WIP

Specifying security id type

WIP

Error handling

WIP

Performance optimization

WIP