Finding Bond Trading Volume Data in Bloomberg

Summary

The document addresses missing historical bond volume results from Bloomberg’s Excel add-in. The response explains that fixed-income volume often requires specifying the reporting source, because volume data may not be available in the default bond history series. It points to MIFID II, TRACE, and exchange data as possible sources, then gives an example of requesting reported trade volume using a source-specific security identifier and a price-volume field.

The answer also cautions that volume-weighted average price may be uninformative for credit bonds because trading can be sparse. The example is described as providing MIFID II reported trade data year to date, so it should not be assumed to supply a complete multi-year history or apply to every bond and market. The exchange does not answer the related request for a comprehensive Bloomberg Excel handbook, and it offers no comparison of source coverage or data quality. Users should confirm available fields and source-specific history with Bloomberg support.

Key ideas

• Historical fixed-income volume queries may need an explicitly specified reporting source.
• MIFID II, TRACE, and exchange feeds are mentioned as potential trade-data sources.
• A source-specific Bloomberg request can retrieve reported trade volume when the default historical field returns no data.
• Sparse bond trading can make VWAP a poor summary measure.
• The example’s YTD coverage does not establish that equivalent long-history data is available for every bond.

Tags

# How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?


# How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?












I want to compare how much bonds of a handful of companies have been traded over the last years and pick the most traded bond for each company via the Excel add-in.

One example of what I have tried is the following:

```
=BDH("EJ070301 Corp";"VOLUME";"1/1/2010";"8/13/2018")
```

But it yields: N/A N/A. I have also tried VOLUME, VWAP_VOLUME and PREVIOUS_TOTAL_VOLUME. It does work with the data field function, i.e.

```
=BDP("EJ070301 Corp";"VOLUME")
```

What am I doing wrong or do you have a better suggestion? As a related question, how can I get better at using Bloomberg via Excel, e.g. do you have link to a comprehensive handbook (one better than Bloomberg one if possible...)?

## Answer by oronimbus (score 3, accepted)

https://quant.stackexchange.com/a/41265

This is a question the Helpdesk should be more than capable to answer. For Fixed Income generally you need to specify the source since volume data is often not available (exceptions: MIFID 2, TRACE or Exchange data).

```
=BDH("EJ070301 @MFTD Corp","PX_VOLUME","1/1/2010","8/13/2018")
```

Above will give you all MIFID 2 reported trade data YTD. VWAP is also not really meaningful for credit since data is so sparse.

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