BloombergBeapHapiDataProvider

class qf_lib.data_providers.bloomberg_beap_hapi.bloomberg_beap_hapi_data_provider.BloombergBeapHapiDataProvider(settings: Settings, reply_timeout: int = 5)[source]

Bases: AbstractPriceDataProvider, TickersUniverseProvider

Data Provider which provides financial data from Bloomberg BEAP HAPI.

The settings file requires the following variables: - hapi_credentials.client_id - hapi_credentials.client_secret - hapi_credentials.expiration_date - output_directory

Other optional settings parameters: - hapi_credentials.user (parameter to link the Data License to a Bloomberg Anywhere or Bloomberg Professional account; the User value can be obtained by running IAM <GO> in the Bloomberg terminal) - hapi_crenetials.sn (parameter to link the Data License to a Bloomberg Professional account; the S/N value can be obtained by running IAM <GO> in the Bloomberg terminal)

Methods:

expiration_date_field_str_map([ticker])

Method has to be implemented in each data provider in order to be able to use get_futures_chain_tickers.

get_current_values(tickers, fields[, ...])

Gets from the Bloomberg HAPI the current values of fields for given tickers.

get_history(tickers, fields, start_date[, ...])

Gets historical data from Bloomberg HAPI from the (start_date - end_date) time range.

get_tickers_universe(universe_ticker[, date])

param universe_ticker:

ticker that describes a specific universe, which members will be returned

get_unique_tickers(universe_ticker)

Returns the unique list of Tickers belonging to a specified universe regardless of the date.

price_field_to_str_map()

Method has to be implemented in each data provider in order to be able to use get_price.

supported_ticker_types()

Returns classes of tickers which are supported by this DataProvider.

expiration_date_field_str_map(ticker: Optional[BloombergTicker] = None) Dict[ExpirationDateField, str][source]

Method has to be implemented in each data provider in order to be able to use get_futures_chain_tickers. Returns dictionary containing mapping between ExpirationDateField and corresponding string that has to be used by get_futures_chain_tickers method.

Parameters:

ticker (None, Ticker) – ticker is optional and might be uses by particular data providers to create appropriate dictionary

Returns:

mapping between ExpirationDateField and corresponding strings

Return type:

Dict[ExpirationDateField, str]

get_current_values(tickers: Union[BloombergTicker, Sequence[BloombergTicker]], fields: Union[str, Sequence[str]], universe_creation_time: Optional[datetime] = None, fields_overrides: Optional[List[Tuple]] = None, pricing_source: Optional[str] = 'BGN') Union[None, float, str, List, QFSeries, QFDataFrame][source]

Gets from the Bloomberg HAPI the current values of fields for given tickers.

Parameters:
  • tickers (BloombergTicker, Sequence[BloombergTicker]) – tickers for securities which should be retrieved

  • fields (str, Sequence[str]) – fields of securities which should be retrieved

  • universe_creation_time (datetime) – Used only if we want to get previously created universe, fields universe or request

  • fields_overrides (Optional[List[Tuple]]) – list of tuples representing overrides, where first element is always the name of the override and second element is the value e.g. in case if we want to download ‘FUT_CHAIN’ and include expired contracts we add the following overrides [(‘INCLUDE_EXPIRED_CONTRACTS’, ‘Y’),]

  • pricing_source (Optional[str]) – Allows a user to specify a pricing source that is applied to all financial instruments in the request universe. By default equals to ‘BGN’.

Returns:

Either QFDataFrame with 2 dimensions: ticker, field or QFSeries with 1 dimensions: ticker of field (depending if many tickers or fields were provided) is returned.

Return type:

float, QFSeries, QFDataFrame

Raises:

BloombergError – When unexpected response from Bloomberg HAPI happened

get_history(tickers: Union[BloombergTicker, Sequence[BloombergTicker]], fields: Union[str, Sequence[str]], start_date: datetime, end_date: Optional[datetime] = None, frequency: Frequency = Frequency.DAILY, universe_creation_time: Optional[datetime] = None, currency: Optional[str] = None, pricing_source: Optional[str] = 'BGN') Union[QFSeries, QFDataFrame, QFDataArray][source]

Gets historical data from Bloomberg HAPI from the (start_date - end_date) time range.

Parameters:
  • tickers (BloombergTicker, Sequence[BloombergTicker]) – tickers for securities which should be retrieved

  • fields (str, Sequence[str]) – fields of securities which should be retrieved

  • start_date (datetime) – date representing the beginning of historical period from which data should be retrieved

  • end_date (datetime) – date representing the end of historical period from which data should be retrieved; if no end_date was provided, by default the current date will be used

  • frequency (Frequency) – frequency of the data

  • universe_creation_time (datetime) – Used only if we want to get previously created universe, fields universe or request

  • currency (Optional[str]) – currency which should be used to obtain the historical data (by default local currency is used)

  • pricing_source (Optional[str]) – Allows a user to specify a pricing source that is applied to all financial instruments in the request universe. By default equals to ‘BGN’.

Returns:

If possible the result will be squeezed, so that instead of returning QFDataArray, data of lower dimensionality will be returned. The results will be either an QFDataArray (with 3 dimensions: date, ticker, field), a QFDataFrame (with 2 dimensions: date, ticker or field; it is also possible to get 2 dimensions ticker and field if single date was provided) or QFSeries (with 1 dimensions: date). If no data is available in the database or an non existing ticker was provided an empty structure (QFSeries, QFDataFrame or QFDataArray) will be returned returned.

Return type:

QFSeries, QFDataFrame, QFDataArray

Raises:

BloombergError – When unexpected response from Bloomberg HAPI happened

get_tickers_universe(universe_ticker: BloombergTicker, date: Optional[datetime] = None) List[BloombergTicker][source]
Parameters:
  • universe_ticker (BloombergTicker) – ticker that describes a specific universe, which members will be returned

  • date (datetime) – date for which current universe members’ tickers will be returned

get_unique_tickers(universe_ticker: BloombergTicker) List[BloombergTicker][source]

Returns the unique list of Tickers belonging to a specified universe regardless of the date.

Parameters:

universe_ticker – ticker that describes a specific universe, which members will be returned

Returns:

list of Tickers belonging to the universe

Return type:

List[Ticker]

price_field_to_str_map() Dict[PriceField, str][source]

Method has to be implemented in each data provider in order to be able to use get_price. Returns dictionary containing mapping between PriceField and corresponding string that has to be used by get_history method to get appropriate type of price series.

Returns:

mapping between PriceFields and corresponding strings

Return type:

Dict[PriceField, str]

supported_ticker_types()[source]

Returns classes of tickers which are supported by this DataProvider.