BLPAPI。检索特定字段的值

问题描述 投票：0回答：2

我正在使用 BLPAPI 运行订阅会话，并且能够获取实时数据，但我想从（广泛的）字段列表中分离出特定值。然后我想将其放入带有“Ticker”和“Field”的数据框中，例如

股票代码 最后价格
ESM3指数 4138.25 
import blpapi

session = blpapi.Session()
session.start()
subscriptions = blpapi.SubscriptionList()
subscriptions.add("ESM3 Index", "LAST_PRICE", " ",)
session.subscribe(subscriptions)

while(True):
    event = session.nextEvent()
    for msg in event:
        print(msg)

其结果是：

CID: {[ valueType=AUTOGEN classId=0 value=1 ]}
MarketDataEvents = {
    MKTDATA_EVENT_TYPE = TRADE
    MKTDATA_EVENT_SUBTYPE = NEW
    EVT_TRADE_DATE_RT = 2023-04-07
    NUM_TRADES_RT = 21535
    PER_TRADE_VWAP_VOLUME_RT = 59291.000000
    PER_TRADE_VWAP_TURNOVER_RT = 244947593.500000
    PER_TRADE_VWAP_REALTIME = 4131.277800
    LAST_ALL_SESSIONS = 4138.250000
    LAST2_TRADE = 4138.250000
    LAST_PRICE = 4138.250000
    LAST_PRICE_TDY = 4138.250000
    LAST2_DIR = -1
    LAST_TICK_DIRECTION_RT = 2
    LAST_TRADE = 4138.250000
    SIZE_LAST_TRADE = 2
    SIZE_LAST_TRADE_TDY = 2
    TRADE_SIZE_ALL_SESSIONS_RT = 2
    ALL_PRICE_SIZE = 2
    ALL_PRICE_COND_CODE = "TSUM"
    ALL_PRICE = 4138.250000
    VOLUME = 59598
    VOLUME_TDY = 59598
    REALTIME_VOLUME_5_DAY_INTERVAL = 
    DELTA_AVAT_1_DAY_INTERVAL = 
    DELTA_AVAT_5_DAY_INTERVAL = 
    DELTA_AVAT_10_DAY_INTERVAL = 
    DELTA_AVAT_20_DAY_INTERVAL = 
    DELTA_AVAT_30_DAY_INTERVAL = 
    DELTA_AVAT_100_DAY_INTERVAL = 
    DELTA_AVAT_180_DAY_INTERVAL = 
    LAST_PRICE_COND_CODE_RT = "TSUM"
    PRICE_CHANGE_1Y_NET_RT = -402.000000
    PRICE_CHANGE_1Y_PCT_RT = -8.854100
    LAST_CONTINUOUS_TRADE_PRICE_RT = 4138.250000
    PRICE_LAST_RT = 4138.250000
    LAST_TRADE_PRICE_TODAY_RT = 4138.250000
    EVT_TRADE_PRICE_RT = 4138.250000
    EVT_TRADE_SIZE_RT = 2
    EVT_TRADE_CONDITION_CODE_RT = "TSUM"

我希望能够提取特定的股票代码，例如“LAST_PRICE”

我尝试过使用 msg.getElement("LAST_PRICE") 但它不喜欢这样，因为它说找不到子元素。

python bloomberg blpapi
2个回答
1
投票

您没有按类型过滤事件。彭博会议将发送许多不同类型的事件。

在OP的代码中，当会话打开时，前两个事件将是SESSION_STATUS(=2)，然后当服务打开时，将是SERVICE_STATUS(=9)事件。之后，您会收到 SUBSCRIPTION_STATUS(=3) 事件。最后，您开始接收类型为 SUBSCRIPTION_DATA(=8) 的报价数据：这些是您关心并想要处理的数据。

即使您获得市场数据事件，它们也具有不同的类型和子类型，并且每个事件可能有也可能没有您正在寻找的数据项。例如，BID 子类型可能没有 ASK 字段。

这是一个简短的测试应用程序，它允许您询问每个刻度事件，并决定如何处理它：

import blpapi

session = blpapi.Session()
session.start()
subscriptions = blpapi.SubscriptionList()
fields = ['BID','ASK','TRADE','LAST_PRICE','LAST_TRADE','EVT_TRADE_PRICE_RT','EVT_TRADE_SIZE_RT']
subscriptions.add('SFRM3 Index', fields)
session.subscribe(subscriptions)

while(True):
    event = session.nextEvent()
    print("Event type:",event.eventType())

    if event.eventType() == blpapi.Event.SUBSCRIPTION_DATA: 
        for msg in event:
            print("  Message type:",msg.messageType())
            eltMsg = msg.asElement();
            msgType = eltMsg.getElement('MKTDATA_EVENT_TYPE').getValueAsString();
            msgSubType = eltMsg.getElement('MKTDATA_EVENT_SUBTYPE').getValueAsString();
            print(" ",msgType,msgSubType)

            for fld in fields:
                if eltMsg.hasElement(fld):
                    print("    ",fld,eltMsg.getElement(fld).getValueAsFloat())
    else:
        for msg in event:
            print("  Message type:",msg.messageType())

您可能会看到类似这样的输出：

Event type: 2
  Message type: SessionConnectionUp
Event type: 2
  Message type: SessionStarted
Event type: 9
  Message type: ServiceOpened
Event type: 3
  Message type: SubscriptionStarted
  Message type: SubscriptionStreamsActivated
Event type: 8
  Message type: MarketDataEvents
  SUMMARY INITPAINT
     BID 95.06
     ASK 95.065
Event type: 8
  Message type: MarketDataEvents
  SUMMARY INITPAINT
     BID 95.06
     ASK 95.065
     LAST_PRICE 95.06
     LAST_TRADE 95.06
Event type: 8
  Message type: MarketDataEvents
  TRADE NEW
     EVT_TRADE_PRICE_RT 95.06
     EVT_TRADE_SIZE_RT 2.0
  Message type: MarketDataEvents
  TRADE NEW
     EVT_TRADE_PRICE_RT 95.06
     EVT_TRADE_SIZE_RT 3.0
  Message type: MarketDataEvents
  TRADE NEW
     EVT_TRADE_PRICE_RT 95.06
     EVT_TRADE_SIZE_RT 1.0
Event type: 8
  Message type: MarketDataEvents
  TRADE NEW
     EVT_TRADE_PRICE_RT 95.06
     EVT_TRADE_SIZE_RT 2.0
Event type: 8
  Message type: MarketDataEvents
  QUOTE ASK
     ASK 95.065
Event type: 8
  Message type: MarketDataEvents
  QUOTE ASK
     ASK 95.065

需要注意的一件重要事情是，单个事件可能有多个消息，并且某些消息（如 INITPAINT）可能会重复。

0
投票

扩展类似于 @DS_London 的代码，但将您对数据放入数据框中的需求纳入其中。尽管不是我对这篇post的需求所强调的最有效的代码，但我认为它仍然是有价值的，并且会在我改进它时进行更新。

import blpapi
import pandas as pd
import numpy as np
import os

# initialise bloomberg
host='localhost'
port=8194

session_options = blpapi.SessionOptions()
session_options.setServerHost(host)
session_options.setServerPort(port)
session_options.setSlowConsumerWarningHiWaterMark(0.05)
session_options.setSlowConsumerWarningLoWaterMark(0.02)

session = blpapi.Session(session_options)
if not session.start():
    print("Failed to start Bloomberg session.")
    
session.start()
subscriptions = blpapi.SubscriptionList()

# sample selection of securities and fields
fields = ['BID','ASK','TRADE','LAST_PRICE']
subscriptions.add('VOD LN Equity', fields, "", blpapi.CorrelationId('VOD LN Equity'))
subscriptions.add('AZN LN Equity', fields, "", blpapi.CorrelationId('AZN LN Equity'))

session.subscribe(subscriptions)

ColPosDict = {'BID':0,
              'ASK':1,
              'TRADE':2,
              'LAST_PRICE':3}

RowPosDict = {'VOD LN Equity':0,
              'AZN LN Equity':1}

df_AllData = pd.DataFrame(np.nan, index=list(['VOD LN Equity' ,'AZN LN Equity']), columns= fields)

while(True):
    event = session.nextEvent()
    if event.eventType() == blpapi.Event.SUBSCRIPTION_DATA: 
        for msg in event:
            security = msg.correlationIds()[0].value()
            eltMsg = msg.asElement()
            for fld in fields:
                if eltMsg.hasElement(fld):
                    df_AllData.iat[RowPosDict[security], ColPosDict[fld]] = eltMsg.getElement(fld).getValueAsFloat() 
        os.system('cls' if os.name == 'nt' else 'clear')
        print(df_AllData)

输出示例：

                    BID       ASK  TRADE  LAST_PRICE
VOD LN Equity     69.72     69.76    NaN       69.72
AZN LN Equity  11200.00  11204.00    NaN    11200.00
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