Bloomberg

The BBG Market Data library is available as an NPM package - @glue42/bbg-market-data. To install it, run the following command in your project directory:

npm install @glue42/bbg-market-data

The BBG Market Data API depends on the io.Connect Interop object, an instance of which must be passed to the BBGMarketData() factory function. The function also accepts as a second parameter a configuration object that controls logging behavior and can also provide an optional custom logger implementation. The configuration object can also specify the interval at which to attempt reconnection to the Bloomberg Adapter if a connection doesn't exist or is interrupted.

⚠️ Note that if you already have an initialized glue object in your app, you must reuse it and not create a new instance.

import BBGMarketData, { BBGMarketDataAPI } from "@glue42/bbg-market-data";

const io = await IODesktop();
const bbgMarketData: BBGMarketDataAPI = BBGMarketData(io.interop, { connectionPeriodMsecs: 7000 });

The configuration object has the following properties:

To receive updates about changes in the connection between the BBG Market Data API and the Bloomberg Adapter, you can use the onConnectionStatusChanged() method. It accepts a callback with which you can handle changes in the connection status and returns an unsubscribe function that you can invoke to stop receiving updates about the connection status:

function handleConnectionChanges (status: ConnectionStatus): void {

    if (status === ConnectionStatus.Connected) {
        // Connected.
    } else {
        // Disconnected.
    };
};

const unsubscribe: UnsubscribeFunction = bbgMarketData.onConnectionStatusChanged(handleConnectionChanges);

A request to a Bloomberg service must first be created. After creating a request instance, you can optionally provide callbacks for handling response data, errors, subscription failures, request status changes and request related events. After that, the request is sent to the Bloomberg service. A request can also be closed if its status is Opened or Active.

Creating Requests

Below is an example of creating a HistoricalDataRequest using the createHistoricalDataRequest() method of the API:

const requestArgs: HistoricalDataRequestArguments = {
    securities: ["IBM US Equity", "MSFT US Equity"],
    fields: ["LAST_PRICE"],
    startDate: "20190101",
    endDate: "20191231"
};

const request: HistoricalDataRequest = bbgMarketData.createHistoricalDataRequest(requestArgs);

Opening Requests

To actually send the request to the Bloomberg service, invoke the open() method of the request instance. Requests can be opened/reopened when they have a Created, Closed, Failed or Completed status. When the request is pending (its status is Opened or Active), open() will immediately throw an error.

// Request options.
const requestOptions: OpenRequestOptions = {
    session: Session.LargeHistoricalRequests,
    aggregateResponse: false
};

// Send the actual request to the Bloomberg service.
request.open(requestOptions);

A request object can be one of two general types - SubscriptionRequest or Request, depending on whether the created request is a subscription request (e.g., Market Data Subscription) or a non-subscription request (all other types of requests for data, fields, user entitlements, etc.). Both types of objects have an open() method which accepts an optional OpenSubscriptionRequestOptions or an OpenRequestOptions object as an argument respectively.

The OpenSubscriptionRequestOptions object passed to the open() method of a SubscriptionRequest object has the following properties:

The OpenRequestOptions object passed to the open() method of a Request object has the following properties:

As opening a request is asynchronous, if any issue occurs (e.g., the Bloomberg Adapter fails to open the Bloomberg core service), the error will be delivered asynchronously to the request onError() callback.

Closing Requests

To close a request, invoke the close() method of a request instance. A request can be closed only if its status is Opened or Active. Otherwise, close() will just resolve. If any issues occur when attempting to close the request, the close() method rejects with an error.

request
    .close()
    .then(() => {
        // Request closed successfully. Now can be reopened.
    })
    .catch(error => {
        // Unable to close the request. Check error.
    });

Response Data

To handle response data, attach a callback to the onData() method of the request instance. The method returns an UnsubscribeFunction. The onData() method handles data from real-time subscriptions and data from partial responses from static reference data requests.

When handling data from a non-subscription request, the data is wrapped in a ResponseData object. The Boolean property isLast is set to false when the response contains a Bloomberg PARTIAL_RESPONSE event and is set to true when the response contains a Bloomberg RESPONSE event. After a RESPONSE event, no more events will be received and the app can now process the returned data accordingly.

Handling partial response data from static reference data requests:

request.onData(function handleResponse(
    response: ResponseData<HistoricalData>
): void {
    if (response.isLast) {
        // Handle the final response.
    } else {
        // Handle partial responses.
    }
});

If you want to directly get the final aggregated response from a static reference data request, you can await the Promise returned from the open() method of the request instance. (This applies only if you haven't explicitly set the aggregateResponse property of the optional object passed to open() to false):

const response: HistoricalData[] | undefined = await request.open();

if (response) {
    // Handle aggregated response.
};

When handling data from a subscription request, the data for each subscription is wrapped in a SubscriptionData object.

Handling data from real-time subscription requests:

request.onData(function handleSubscriptionsData(
    subscriptionsData: Array<SubscriptionData>
): void {
    // Handle subscription updates.
});

Response Errors

To handle errors in a response, attach a callback to the onError() method of the request instance. The method returns an UnsubscribeFunction. An error can be returned when:

• Unable to invoke the Bloomberg Adapter.
• The Bloomberg Adapter has thrown an exception.
• The Bloomberg Adapter wasn't able to create the request to the Bloomberg service and returns an unsuccessful result.
• An active request to a Bloomberg service has failed (e.g., a "RequestFailure" message was received for a non-subscription request).

Request Status

To track the current request status, attach a callback to the onStatus() method of the request instance. The method returns an UnsubscribeFunction.

There are six statuses:

• Created - The request has been created but not sent to a Bloomberg service.
• Opened - The actual request has been sent to a Bloomberg service, but isn't active yet. Response still not available.
• Active - The request has been sent to a Bloomberg service successfully. Responses may be received.
• Failed - The request has failed to open or an error is received from a Bloomberg service.
• Closed - The request was closed before completing. No more responses will be received.
• Completed - The request was completed successfully. No more responses will be received.

Request Events

If you want to receive all Bloomberg events related to the current request, you can attach a callback to the onEvent() method of the request instance. The method returns an UnsubscribeFunction.

request.onEvent(function handleBloombergEvent(event: BloombergEvent) {
    // Track all events related to the current request.
});

Market Data Subscription

A Market Data Subscription request enables retrieval of streaming data for securities that are priced intraday by using the Bloomberg API Subscription paradigm. It uses the Bloomberg API core service //blp/mktdata. The subscriber receives updates once a field value changes at the source. Desired fields must explicitly be listed in the subscription to receive updates for them. It is required for each subscription to have a security property and at least one field in the fileds property. A full range of options (like subscriptionId, intervalInSeconds, delayed) can be specified in the Subscription.

Below is an example of creating and opening a Market Data Subscription request:

const subscriptions: Array<Subscription> = [
    {
        security: "IBM US Equity",
        fields: ["LAST_PRICE", "BID", "ASK"],
        // Interval for receiving conflated data.
        intervalInSeconds: 2,
        // Whether the received data to be real-time or delayed.
        delayed: false
    }
];

// Creating the request.
const request: SubscriptionRequest = bbgMarketData.createMarketDataRequest(subscriptions);

request.onData(function handleSubscriptionsData(
    subscriptionsData: Array<SubscriptionData>
): void {
    // Handle subscription updates.
});

// The callback in the `onFail()` method will be invoked when a subscription for a security
// fails on the Bloomberg side. E.g., you may have sent a request with
// five subscriptions for five different securities and two of the subscriptions fail.
request.onFail(function handleSubscriptionsError(
    subscriptionErrors: Array<SubscriptionError>
): void {
    // Handle subscription errors.
});

// The callback in the `onError()` method will be invoked whenever an error occurs with
// the request itself. E.g., error in creating or sending the request.
request.onError(function handleRequestError(error): void {
    // Handle request error.
});

// Sending the request to a Bloomberg service.
request.open();

Each subscription must have a unique ID. If not explicitly set, the library assigns one:

import { CorrelationId, Subscription } from "@glue42/bbg-market-data";

const subscriptions: Subscription[] = [
    // This subscription has explicitly assigned ID.
    {
        subscriptionId: new CorrelationId(),
        security: "IBM US Equity",
        fields: ["LAST_PRICE", "BID", "ASK"]
    },

    // А `subscriptionId` will be assigned automatically for this subscription.
    {
        security: "MSFT US Equity",
        fields: ["LAST_PRICE", "BID", "ASK"]
    }
];

Historical Data

A Historical Data request enables the retrieval of end-of-day data for a set of securities and fields over a specified period, which can be set to daily, monthly, quarterly, semi-annually or annually by using the Bloomberg Request/Response paradigm. It uses the Bloomberg API core service //blp/refdata.

At least one value in the securities and in the fields properties is required along with a startDate and an endDate. A range of other options can be specified in the HistoricalDataRequestArguments object. To create a Historical Data request, use the createHistoricalDataRequest() method:

const requestArgs: HistoricalDataRequestArguments = {
    securities: ["IBM US Equity", "MSFT US Equity"],
    fields: ["LAST_PRICE"],
    startDate: "20190101",
    endDate: "20191231"
};

// Creating the request.
const request: HistoricalDataRequest = bbgMarketData.createHistoricalDataRequest(requestArgs);

request.onData(function handleResponse(
    response: ResponseData<HistoricalData>
): void {
    if (response.isLast) {
        // Handle the final response.
    } else {
        // Handle partial responses.
    }
});

// Sending the request to a Bloomberg service.
request.open();

Reference Data

A Reference Data request retrieves the current data available for a security/field pair by using the Bloomberg Request/Response paradigm. It uses the Bloomberg API core service //blp/refdata.

At least one value in the securities and in the fields properties is required. A range of other options can be specified in the ReferenceDataRequestArguments object. To create a Reference Data request, use the createReferenceDataRequest() method.

const requestArgs: ReferenceDataRequestArguments = {
    securities: ["IBM US Equity"],
    fields: ["LAST_PRICE"]
};

// Creating the request.
const request: ReferenceDataRequest = bbgMarketData.createReferenceDataRequest(requestArgs);

request.onData(function handleResponse(
    response: ResponseData<ReferenceData>
): void {
    if (response.isLast) {
        // Handle the final response.
    } else {
        // Handle partial responses.
    }
});

// Sending the request to a Bloomberg service.
request.open();

Instrument List

The Instrument List request performs a search for securities based on a specified search string. This functionality resembles the SECF <GO> function of the Bloomberg Professional Service. It uses the Bloomberg API core service //blp/instruments.

Specifying a search string and a maximum number of results is required. A range of other options can be specified in the InstrumentListRequestArguments object. To create an Instrument List request, use the createInstrumentListRequest() method:

const requestArgs: InstrumentListRequestArguments = {
    query: "VOD",
    maxResults: 5
};

// Creating the request.
const request: InstrumentListRequest = bbgMarketData.createInstrumentListRequest(requestArgs);

request.onData(function handleResponse(
    response: ResponseData<InstrumentListData>
): void {
    if (response.isLast) {
        // Handle the final response.
    } else {
        // Handle partial responses.
    }
});

// Sending the request to a Bloomberg service.
request.open();

Intraday Bar

The Intraday Bar request enables retrieval of summary intervals for intraday data covering five event types: TRADE, BID, ASK, BEST BID and BEST ASK, over a period of time by using the Bloomberg Request/Response paradigm. It uses the Bloomberg API core service //blp/refdata.

It is required to specify a security and eventType. Also, startDateTime and endDateTime points in UTC must be specified. A range of other options can be specified in the IntraDayBarRequestArguments object. To create an Intraday Bar request, use the createIntraDayBarRequest() method:

const requestArgs: IntraDayBarRequestArguments = {
    security: "IBM US Equity",
    eventType: IntraDayEventType.ASK,
    startDateTime: "2019-01-01T13:00:00",
    endDateTime: "2019-12-31T13:00:00"
};

// Creating the request.
const request: IntraDayBarRequest = bbgMarketData.createIntraDayBarRequest(requestArgs);

request.onData(function handleResponse(
    response: ResponseData<IntraDayBarData>
): void {
    if (response.isLast) {
        // Handle the final response.
    } else {
        // Handle partial responses.
    }
});

// Sending the request to a Bloomberg service.
request.open();

Snapshot

The Snapshot request enables retrieval of static market list snapshot data by using the Bloomberg Request/Response paradigm. It uses the Bloomberg API core service //blp/mktlist.

It is required to specify a security. To create a Snapshot request, use the createSnapshotRequest() method:

const requestArgs: SnapshotRequestArguments = {
    security: "VOD LN Equity"
};

// Creating the request.
const request: SnapshotRequest = bbgMarketData.createSnapshotRequest(requestArgs);

request.onData(function handleResponse(
    response: ResponseData<SnapshotData>
): void {
    if (response.isLast) {
        // Handle the final response.
    } else {
        // Handle partial responses.
    }
});

// Sending the request to a Bloomberg service.
request.open();

Field List

The Field List request returns all fields of the same type by using the Bloomberg Request/Response paradigm. It uses the Bloomberg API core service //blp/apiflds. Possible fieldType values include:

• All - returns all fields in the API Data Dictionary;
• Static - returns all static fields contained in the API Data Dictionary;
• RealTime - returns all real-time fields contained in the API Data Dictionary;

A range of options can be specified in the FieldListRequestArguments object. To create a Field List request, use the createFieldListRequest() method:

const requestArgs: FieldListRequestArguments = {
    fieldType: FieldType.RealTime
};

// Creating the request.
const request: FieldListRequest = bbgMarketData.createFieldListRequest(requestArgs);

request.onData(function handleResponse(
    response: ResponseData<FieldListData>
): void {
    if (response.isLast) {
        // Handle the final response.
    } else {
        // Handle partial responses.
    }
});

// Sending the request to a Bloomberg service.
request.open();

Field Search

The Field Search request returns all fields matching a specified search criterion by using the Bloomberg Request/Response paradigm. It uses the Bloomberg API core service //blp/apiflds.

A range of options can be specified in the FieldSearchRequestArguments object. To create a Field Search request, use the createFieldSearchRequest() method:

const requestArgs: FieldSearchRequestArguments = {
    searchSpec: "mkt"
};

// Creating the request.
const request: FieldSearchRequest = bbgMarketData.createFieldSearchRequest(requestArgs);

request.onData(function handleResponse(
    response: ResponseData<FieldSearchData>
): void {
    if (response.isLast) {
        // Handle the final response.
    } else {
        // Handle partial responses.
    }
});

// Sending the request to a Bloomberg service.
request.open();

User Entitlements

The User Entitlements request returns a list of entitlement IDs by using the Bloomberg Request/Response paradigm. It uses the Bloomberg API core service //blp/apiauth. To create a User Entitlements request, use the createUserEntitlementsRequest() method:

const requestArgs: UserEntitlementsRequestArguments = {
    uuid: 1000
};

// Creating the request.
const request: UserEntitlementsRequest = bbgMarketData.createUserEntitlementsRequest(requestArgs);

request.onData(function handleResponse(
    response: ResponseData<UserEntitlementsData>
): void {
    if (response.isLast) {
        // Handle the final response.
    } else {
        // Handle partial responses.
    }
});

// Sending the request to a Bloomberg service.
request.open();

Bloomberg sessions are essentially data stream connections. These are logical connections and the Bloomberg API supports failover between physical connections. During failover, the API will handle re-subscriptions.

Each instance of the BBG Market Data library has two default sessions - one for subscription requests and one for static reference data requests. Their lifetime is bound to the lifetime of the provided io.Connect Interop instance.

⚠️ Note that opening and closing a Bloomberg session is expensive both for the client app and for Bloomberg servers, so it's strongly recommended to use the default sessions when opening a request.

Session Types

There are five predefined session types accessible through the Session enumeration:

// A Historical Data `request` instance has already been created
// the respective callbacks for handling data and errors have been attached to it.

// Explicitly states that the default session should be used.
request.open({ session: Session.Default });

// This request will be opened on a short-lived dedicated session.
request.open({ session: Session.CreateNew });

The BloombergSession type describes custom sessions created with the create() method of the sessions object of the API:

const customSession: BloombergSession = await bbgMarketData.sessions.create();

Custom Sessions

Default sessions are created with the default Bloomberg session options and default Bloomberg session identity options. These can be overridden during the library initialization. To use custom session settings, create a SessionOptions and a SessionIdentityOptions objects and set the required options to be supplied when the actual Bloomberg session is created.

import IODesktop from "@interopio/desktop";
import BBGMarketData, { BBGMarketDataAPI, SessionOptions, SessionSettings, SessionIdentityOptions } from "@glue42/bbg-market-data";

const options: SessionOptions = {
    // Your custom Bloomberg session options.
};

const identityOptions: SessionIdentityOptions = {
    // Your custom Bloomberg session identity options.
};

const sessionSettings: SessionSettings = {
    options,
    identityOptions
};

const io = await IODesktop();
const bbgMarketData: BBGMarketDataAPI = BBGMarketData(io.interop, { sessionSettings });

The SessionIdentityOptions object has the following shape:

const identityOptions: SessionIdentityOptions = {
    authToken: string;
    authApplication: string;
    correlationId: string;
    authUser: {
        authUserWithAutoLogon: boolean;
        authUserWithADProperty: string;
        authUserWithManualOptions: {
            userId: string;
            ipAddress: string;
        }
    }
};

⚠️ Note that authToken and authUser/authApplication are mutually exclusive. For instance, if you specify a value for authToken, the values for both authUser and authApplication will be ignored.

Besides the default predefined sessions, for advanced scenarios, you can create custom sessions. These sessions can be closed explicitly, otherwise they will also share the lifetime of the provided io.Connect Interop instance. The reason for this is that you can group requests in different Bloomberg sessions to avoid delaying a fast stream with a slow one.

To create a custom session, use the create() method of the sessions object of the API, optionally providing custom session settings:

import BBGMarketData, { BBGMarketDataAPI, SessionOptions, SessionSettings, SessionIdentityOptions } from "@glue42/bbg-market-data";

const io = await IODesktop();
const bbgMarketData: BBGMarketDataAPI = BBGMarketData(io.interop);

const options: SessionOptions = {
    // Your custom Bloomberg session options.
};

const identityOptions: SessionIdentityOptions = {
    // Your custom Bloomberg session identity options.
};

const sessionSettings: SessionSettings = {
    options,
    identityOptions,
};

// Sessions settings are optional.
const largeDataSession: BloombergSession = await bbgMarketData.sessions.create(sessionSettings);

// A large and slow historical data request.
const request = bbgMarketData.createHistoricalDataRequest({...});

request.open({ session: largeDataSession });

// You can also use the custom session for other requests.

To close a custom session, use the close() method of the sessions object of the API, providing the name of the session to close:

// You can explicitly close a custom session by its name.
await bbgMarketData.sessions.close(largeDataSession.name);