pdblp allows daily historical Bloomberg requests via:
con = pdblp.BCon(debug=False)
con = start()
df = con.bdh(['SPY Equity'], 'PX_LAST', '20150103', '20150619')
How can intraday price/volume/open interest etc requests be made?
Desired behavior resembling as below, the price on 15 minute intervals.
df = con.bdh(['SPY Equity'], 'PX_Last', ... , periodSelection = 'MINUTE', period=15)
Start time and end time must be in UTC timezone. So a bit of conversions should be made - and need to account for daylight savings as well.
Using xbbg instead is much easier:
In [1]: from xbbg import blp
In [2]: blp.bdib(ticker='SPY US Equity', dt='2018-11-20').tail()
Out[2]:
ticker SPY US Equity
field open high low close volume num_trds
2018-11-20 15:57:00-05:00 264.42 264.49 264.35 264.41 590775 2590
2018-11-20 15:58:00-05:00 264.42 264.42 264.26 264.27 1005241 3688
2018-11-20 15:59:00-05:00 264.26 264.48 264.12 264.15 4227150 7886
2018-11-20 16:09:00-05:00 264.12 264.12 264.12 264.12 0 1
2018-11-20 16:15:00-05:00 264.12 264.12 264.12 264.12 0 1
Need the full equity ticker here to find the timezone of exchange.