BLPAPI. Retrieve value of specific field

Question

I am running a subscription session using BLPAPI and I am able to get real-time data but I want to isolate a particular value from the (extensive) list of fields. Then I would like to put it into a dataframe with "Ticker" and "Field" e.g.

Ticker	Last Price
ESM3 Index	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)

It results in:

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"

I would like to be able to extract a specific ticker e.g. "LAST_PRICE"

I have tried using msg.getElement("LAST_PRICE") but it doesn't like this as it says the sub-element cannot be found.

Answer 1

You are not filtering the Events by type. The Bloomberg session will send a number of different types of event.

In the OP's code, the first two events will be SESSION_STATUS(=2) as the Session is opened, then a SERVICE_STATUS(=9) event as the Service is opened. After that, you get a SUBSCRIPTION_STATUS(=3) event. Finally, you start to receive the tick data, with type SUBSCRIPTION_DATA(=8): these are the ones you care about and want to handle.

Even when you get a Market Data Event, they are of different types and sub-types, and each may or may not have the data item you are looking for. eg a BID sub-type probably won't have an ASK field.

Here's a short test app which will allow you to interrogate each tick event, and decide how to handle it:

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())

You may see output something like this:

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

An important thing to note is that a single Event may have more than one Message, and some Messages (like INITPAINT) may get repeated.