Bloomberg Intraday Data Limits and Server-Side Aggregation
Summary
The document considers how to study the volume-weighted bid-ask spread across time when retrieving intraday bid, ask, and volume data for many securities runs into a Bloomberg monthly usage cap. The question is whether Bloomberg can calculate daily or weekly aggregates before returning results, reducing the amount of data transferred. The proposed spread analysis is described as straightforward to construct from the underlying fields, but the volume of observations is the practical constraint.
The replies offer limited guidance rather than a complete workflow. They suggest using Bloomberg’s SDK or spreadsheet and statistical software, mention custom CIX formulas as a possible option, and report that there may be no direct way to shrink requests because usage depends on fields and securities. The answers do not establish whether custom calculations can run server-side for this use case. Researchers should confirm capabilities and account limits with Bloomberg support; the discussion does not provide performance evidence or a tested implementation.
Key ideas
- Constructing a volume-weighted bid-ask spread requires bid, ask, and volume data.
- Intraday requests across many securities can consume a monthly data allowance quickly.
- Replies suggest SDK-based retrieval, local calculations, or investigating custom Bloomberg formulas.
- The discussion does not verify that Bloomberg can perform the requested aggregation server-side.
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Full text
# How to download bloomberg intraday data efficiently with API # How to download bloomberg intraday data efficiently with API so I would download a bunch of intraday data, for a bunch of securities, but we keep hitting our monthly cap limit. We don't want to upgrade to a more expensive package as this is simply a research project we have underway. Ideally, I am trying to map the volume weighted bid-ask spread through time on the market, however, to my knowledge, Bloomberg doesn't currently compile such fields that would make this easy. To construct it manually is pretty straight forward, grab the bid, ask, and volume tick data for the securities in question, and calculate the volume weighted bid and ask spread. Given the number of data points however, you can understand how data caps would be quickly hit. Is there some way to write a formula that would run this daily, weekly, whatever calculation on the Bloomberg side before being sent the data as a single cell representing my calculation? Something like an SQL query or something? Or is this not possible? Thanks for any help! ## Answer by VanillaCall (score 1) https://quant.stackexchange.com/a/43290 You can do this in VBA or Python. Bloomberg has a SDK (software development kit) and provides examples for how to download data. Ask Bloomberg support, they will give you further guidance. ## Answer by Blasher (score 0) https://quant.stackexchange.com/a/39135 Maybe using a custom CIX could be of benefit to you? It allows you to define custom Bloomberg formulas on realtime and/or historical data. ## Answer by Lotchi Dagbo (score 0) https://quant.stackexchange.com/a/40620 Bloomberg does not provide such services but you may inquire. The solution is to use excel or R package to do the job in the background but you may hit your limit. In the end you may have to increase your limit. ## Answer by Delaila (score 0) https://quant.stackexchange.com/a/43818 Your calls are basically based on your number of fields times the number of tickers. There is no specific way to make this call smaller as far as i know. in your case you have "3 * x" calls. Maybe you just have too many tickers you want to look up, for the limit you have purchased
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