Question

Does anyone know how to get asynchronous data through Bloomberg’s new data API (COM v3) with Python? I found this code below on wilmott.com and it works just fine, but it’s for the old API version.

Does anyone know the corresponding code for the new version?

from win32com.client import DispatchWithEvents
from pythoncom import PumpWaitingMessages, Empty, Missing
from time import time

class BBCommEvent:
    def OnData(self, Security, cookie, Fields, Data, Status):
        print 'OnData: ' + `Data`

    def OnStatus(self, Status, SubStatus, StatusDescription):
        print 'OnStatus'

class TestAsync:
    def __init__(self):
        clsid = '{F2303261-4969-11D1-B305-00805F815CBF}'
        progid = 'Bloomberg.Data.1'

        print 'connecting to BBComm'        
        blp = DispatchWithEvents(clsid, BBCommEvent)
        blp.AutoRelease = False
        blp.Subscribe('EUR Curncy', 1, 'LAST_PRICE', Results = Empty)
        blp.Flush()

        end_time = time() + 5

        while 1:
            PumpWaitingMessages()
            if end_time < time():
                print 'timed out'
                break

if __name__ == "__main__":
    ta = TestAsync()

Answer 1

I finally figured it out. I did a fair bit of combrowse.py detective work, and I compared with the JAVA, C, C++, and .NET examples in the BBG API download. Interestingly enough the Bloomberg Helpdesk people knew pretty much null when it came to these things, or perhaps I was just talking to the wrong person.

Here is my code.

asynchronousHandler.py:

import win32com.client
from pythoncom import PumpWaitingMessages
from time import time, strftime
import constants

class EventHandler:
    def OnProcessEvent(self, result):
        event = win32com.client.gencache.EnsureDispatch(result) 
        if event.EventType == constants.SUBSCRIPTION_DATA:
            self.getData(event)
        elif event.EventType == constants.SUBSCRIPTION_STATUS:
            self.getStatus(event)
        else:
            self.getMisc(event)
    def getData(self, event):
        iterator = event.CreateMessageIterator()
        while iterator.Next():
            message = iterator.Message  
            dataString = ''
            for fieldIndex, field in enumerate(constants.fields):           
                if message.AsElement.HasElement(field):
                    element = message.GetElement(field)
                    if element.IsNull:
                        theValue = ''
                    else:
                        theValue = ', Value: ' + str(element.Value) 
                    dataString = dataString + ', (Type: ' + element.Name + theValue + ')'
            print strftime('%m/%d/%y %H:%M:%S') + ', MessageType: ' + message.MessageTypeAsString + ', CorrelationId: ' + str(message.CorrelationId) + dataString
    def getMisc(self, event):
        iterator = event.CreateMessageIterator()
        while iterator.Next():
            message = iterator.Message
            print strftime('%m/%d/%y %H:%M:%S') + ', MessageType: ' + message.MessageTypeAsString
    def getStatus(self, event):
        iterator = event.CreateMessageIterator()
        while iterator.Next():
            message = iterator.Message
            if message.AsElement.HasElement('reason'):
                element = message.AsElement.GetElement('reason')
                print strftime('%m/%d/%y %H:%M:%S') + ', MessageType: ' + message.MessageTypeAsString + ', CorrelationId: ' + str(message.CorrelationId) + ', Category: ' + element.GetElement('category').Value + ', Description: ' + element.GetElement('description').Value 
            if message.AsElement.HasElement('exceptions'):
                element = message.AsElement.GetElement('exceptions')
                exceptionString = ''
                for n in range(element.NumValues):
                    exceptionInfo = element.GetValue(n)
                    fieldId = exceptionInfo.GetElement('fieldId')
                    reason = exceptionInfo.GetElement('reason')
                    exceptionString = exceptionString + ', (Field: ' + fieldId.Value + ', Category: ' + reason.GetElement('category').Value + ', Description: ' + reason.GetElement('description').Value + ') ' 
                print strftime('%m/%d/%y %H:%M:%S') + ', MessageType: ' + message.MessageTypeAsString + ', CorrelationId: ' + str(message.CorrelationId) + exceptionString

class bloombergSource:
    def __init__(self):
        session = win32com.client.DispatchWithEvents('blpapicom.Session' , EventHandler)
        session.Start()
        started = session.OpenService('//blp/mktdata')
        subscriptions = session.CreateSubscriptionList()
        for tickerIndex, ticker in enumerate(constants.tickers):
            if len(constants.interval) > 0:
                subscriptions.AddEx(ticker, constants.fields, constants.interval, session.CreateCorrelationId(tickerIndex))
            else:
                subscriptions.Add(ticker, constants.fields, session.CreateCorrelationId(tickerIndex))   
        session.Subscribe(subscriptions)
        endTime = time() + 2
        while True:
            PumpWaitingMessages()
            if endTime < time():                
                break               

if __name__ == "__main__":
    aBloombergSource = bloombergSource()

constants.py:

ADMIN = 1
AUTHORIZATION_STATUS = 11
BLPSERVICE_STATUS = 9
PARTIAL_RESPONSE = 6
PUBLISHING_DATA = 13
REQUEST_STATUS = 4
RESOLUTION_STATUS = 12
RESPONSE = 5
SESSION_STATUS = 2
SUBSCRIPTION_DATA = 8
SUBSCRIPTION_STATUS = 3
TIMEOUT = 10
TOKEN_STATUS = 15
TOPIC_STATUS = 14
UNKNOWN = -1
fields = ['BID']
tickers = ['AUD Curncy']
interval = '' #'interval=5.0'

For historical data I used this simple script:

import win32com.client

session = win32com.client.Dispatch('blpapicom.Session')
session.QueueEvents = True
session.Start()
started = session.OpenService('//blp/refdata')
dataService = session.GetService('//blp/refdata')
request = dataService.CreateRequest('HistoricalDataRequest')
request.GetElement('securities').AppendValue('5 HK Equity')
request.GetElement('fields').AppendValue('PX_LAST')
request.Set('periodicitySelection', 'DAILY')
request.Set('startDate', '20090119')
request.Set('endDate', '20090130')
cid = session.SendRequest(request)
ADMIN = 1
AUTHORIZATION_STATUS = 11
BLPSERVICE_STATUS = 9
PARTIAL_RESPONSE = 6
PUBLISHING_DATA = 13
REQUEST_STATUS = 4
RESOLUTION_STATUS = 12
RESPONSE = 5
SESSION_STATUS = 2
SUBSCRIPTION_DATA = 8
SUBSCRIPTION_STATUS = 3
TIMEOUT = 10
TOKEN_STATUS = 15
TOPIC_STATUS = 14
UNKNOWN = -1
stayHere = True
while stayHere:
    event = session.NextEvent();
    if event.EventType == PARTIAL_RESPONSE or event.EventType == RESPONSE:
        iterator = event.CreateMessageIterator()
        iterator.Next()
        message = iterator.Message
        securityData = message.GetElement('securityData')
        securityName = securityData.GetElement('security')
        fieldData = securityData.GetElement('fieldData')
        returnList = [[0 for col in range(fieldData.GetValue(row).NumValues+1)] for row in range(fieldData.NumValues)]
        for row in range(fieldData.NumValues):
            rowField = fieldData.GetValue(row)
            for col in range(rowField.NumValues+1):
                colField = rowField.GetElement(col)
                returnList[row][col] = colField.Value
        stayHere = False
        break
element = None
iterator = None
message = None
event = None
session = None
print returnList