Accessing Bloomberg Intraday Data Through Its API

# Answer by Dirk Eddelbuettel (score 8, accepted)


# How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?












For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this doesn't seem to be possible for intraday data. Again, the export works perfectly using the Excel API for any frequency except intraday.

I have selected both 'intraday bars' and 'intraday ticks' without success. I did in the end find the data as a plot, but can only export it as an image file, which doesn't help.

Am I doing something wrong or is this kind of data not available for download? Is intraday data perhaps only available for specific exchanges? If this is the case, what are possible alternative sources? Could the fact that I am using a university terminal be a problem? Does Bloomberg differentiate between different licenses?

## Answer by Dirk Eddelbuettel (score 8, accepted)

https://quant.stackexchange.com/a/15655

None of the previous answers have mentioned the fact that Bloomberg supports an API with support for

- all the main languages (C, C++, Java, Python, Perl -- and even Node and Haskell support on GitHub),

- on all the relevant operating systems: Windows, Linux, OS X, Solaris.

This includes support for tick data which is stored in a rolling window (ie from today backwards for a given number of days, IIRC this number is 140).

Now, the usage terms are well known: You are generally not allowed to take the data retrieved this way off the machine on which you have the license. I.e. no further distribution even within your office.

But for the narrow question of "can I programmatically access Tick Data from Bloomberg", the answer is a clear "yes".

Edit: So now at work, here is a quick example from inside an R session:

```
R> library(Rblpapi)
R> con <- blpConnect()
R> head( res <- getBars(con, "CLA Comdty"))
                     open  high   low close numEvents volume
2014-11-28 03:46:00 68.62 68.83 68.36 68.57      4960   6226
2014-11-28 04:46:00 68.56 69.33 68.49 69.05      8147  10356
2014-11-28 05:46:00 69.05 69.47 68.80 68.92      8757  11398
2014-11-28 06:46:00 68.90 69.31 68.80 68.98      6271   7642
2014-11-28 07:46:00 68.98 69.62 68.88 69.27     12022  14963
2014-11-28 08:46:00 69.27 69.59 69.01 69.33     23881  28821
R>
```

I set this up to use most default values:

- hourly bars, which could be changed to any multiple of minutes

- start and end time derived from current time (which was 8:33 when I ran that)

- a given contract (here using the Crude Oil front contract, which made some news overnight)

- default connection attributes

returning an xts container, and implemented as a simple wrapper around the C++ API.

## Answer by SRKX (score 2)

https://quant.stackexchange.com/a/15647

The answer to your question probably depends on the type of the security you want to query the data from, their vendor (not Bloomberg, the original vendor) and your license with Bloomberg.

I don't remember having no access to intraday data, but I remember having limited history for sure (more data implied more fees as far as I can remember).

But in general, @rhaskett's comment is really the best thing we can advise, just use Bloomberg's help. They will know (or they'll find out what's wrong) and if they can't help you then there is little chance we can.