I'm trying to download hourly trading volume data via the Bloomberg Excel API. For context, this is the formula I'm using, which pulls hourly trading data for Apple between Dec. 10, 2021 and Dec. 17, 2021:
=BDH("AAPL US EQUITY", "VOLUME", "12/10/2021 00:00", "12/17/2021 00:00", "BarSize", "60", "BarType", "T")
Upon changing the interval dates, the formula stops working for intervals that include dates before around Jun. 1, 2021. I guess this means there are some sort of limits to downloading.
On the actual Bloomberg Terminal, I was able to download data for intervals going up to ~240 days regardless of how far back the dates go. However, this particular formula stops working for dates before Jun. 1, 2021 no matter how small the interval is. As such, the restrictions seem a bit different between these two methods.
Here are my questions:
- Does anyone know what the specific limits are for this particular Excel function I am using?
- Is there an Excel formula to download hourly trading volume data with the ~240 day maximum like in the actual Bloomberg Terminal?
- Is there another data source that gives hourly trading data for stocks (specifically Japanese stocks)?
CodePudding user response：
From the Bloomberg API documentation on page 82. Excel uses this API (what Bloomberg refers to as DAPI in their help pages) behind the scenes to get intraday data for the BDH() call. 140 business days is around 6 calendar months.
The Terminal accesses the data directly from the underlying database and does not use the API.
Bloomberg maintains a tick-by-tick history going back 140 business days for all securities where streaming data is available. This intraday data can be used to draw detailed charts, for technical analysis or to retrieve the initial data for a monitoring graph function such as the “GIP ” function on the Bloomberg Professional service.
Bloomberg now offers an additional way to get data into Excel: the Bloomberg Query Language (BQL). This is more akin to an SQL query, and supports aggregation and analysis on the server side. It may be that this can provide more intraday data. The Bloomberg Help customer support team can usually tell you pretty quickly whether your task is currently achievable or not.
You may also want to check out the BTH() formula which can perform technical analysis of historical and intraday data.