The Macrobond Bloomberg Connector

Introduction

With the Macrobond Bloomberg Connector you can retrieve historical time series from Bloomberg if Bloomberg Terminal is installed and running on your computer.

The application determines the start date and frequency automatically. The highest supported frequency is daily data, and the earliest start date is 1930-01-01.

Requirements

Please note that the product Bloomberg Anywhere, which is a lightweight version of Bloomberg Terminal, does not come with the API needed by the Macrobond Bloomberg Connector. You need to run the installed version of Bloomberg Terminal for the connector to work.

Enabling the Bloomberg Connector

To be able to use the Bloomberg connector, it must be enabled in the Macrobond application. This is done on the Configuration (in upper menu) > Settings > tab 'My series' (for MB pre-1.28: Edit > Settings > tab 'My series'):

Working with Bloomberg Connector

Entering Bloomberg symbols in the Series browser

To make it easier to enter Bloomberg symbols and to use such series together with the Action command bar, you can select Bloomberg in the Series browser. This allows you to type in the Bloomberg symbols and look them up.

You can also paste Bloomberg Excel =BDH expressions, and the application will suggest a code which will work in Macrobond. Note that it won't work for =BDP or =BDS queries.

You may include the 'yellow key' ('Equity', 'Index' etc.) at the end of the symbol. If it is not included, the Macrobond application will try all the keys and present all series found.

If you want some other field than PX_LAST, you may include it like in this example:

IBM US:BEST_EPS:PX_ASK

You can also find below a non-exhaustive list of Bloomberg field codes:

Ask Price  PX_ASK
Bid Price PX_BID
High Price PX_HIGH
Last trade/Last price LAST_PRICE
Low Price PX_LOW
Mid Price PX_MID
Open Price PX_OPEN
Option Price OPT_PX
Settlement Price PX_SETTLE
Strike Price STRIKE_PX
Best EV/EBITDA TO_EBITDA
Best P/E Ratio PE_RATIO
Closing Price 1 Day Ago CLOSE_1D
Contract value CONTRACT_VALUE
Current Enterprise Value ENTP_VAL
Enterprise Value ENTERPRISE_VALUE
Enterprise Value (EV) to Book Value BOOK_VALUE
Estimated P/E Nest Year Aggregate YR_AGGTE
Net Asset Value (NAV) ASSET_VAL
Price to Book Ratio BOOK_RATIO
P/E ratio PE_RATIO
Total market Value TOT_MKT_VAL MKT_VAL
Volume VOLUME
Volatility 30 day VOLATILITY_30D
VWAP (Vol Weighted Average Price) AVG_PX
Yesterday Close Price YEST_CLOSE

Series names

Series names for the Bloomberg connector, in their simplest form, are specified as "ih:bl:symbol". Note, if the BBG symbol has ' : ' in it (i.e., CL 1 N:00_0_N_Comdty) should be written as"ih:bl:c 5 a::00_0_N Comdty:PX_LAST", with two colons inside symbol.

The symbol is a Bloomberg symbol. The default format for Bloomberg symbols is the Bloomberg ticker followed by the 'yellow key'. An example of a Bloomberg symbol is IBM US Equity and the series name to enter in Macrobond would then be "ih:bl:IBM US Equity". When you use this as a series name in the Series List you need to specify the quotes around the name since it contains spaces.

A name without a specific field specified will refer to the field PX_LAST. The full format of the name is "ih:bl:symbol:field:override1=value1:override2=value2", where the field and the list of overrides are optional.

Here is an example the uses another field than PX_LAST: "ih:bl:IBM US Equity:BEST_EPS".

You may optionally append one or more 'overrides' to the name. For example: "ih:bl:nky Index:BEST_PE_RATIO:eqy_consolidated=N".

Bloomberg have some variations on their symbol codes. For instance, you can include the pricing source as in "ih:bl:MSFT@ETPX US Equity".

Please consult the Bloomberg documentation for further information on the symbol format, field names and overrides.

CUSIP/ISIN

Instead of code use security name. We recommend using lower cases. Coupon, if used, should be in decimals. You may also use other symbol schemas than the Bloomberg ticker format. For example: "ih:bl:/cusip/912828GM6@BGN".

Please consult the Bloomberg documentation for further information on the symbol format, field names and overrides.

Using Bloomberg 'overrides'

Bloomberg has a system for specifying additional parameters in historical data requests that can affect the series returned. An override can look like this: Eqy_Consolidated=N.

As explained above you can specify such overrides when writing the series names in Macrobond. These the same overrides as you can specify in the Bloomberg BDH Excel function. In the BDH function there are, however, some parameters that look like 'overrides', but they are technically not. Some of these are also supported in the Macrobond application:

QtTyp Price/Yield quote. Valid values are “P” (price) and “Y” (yield). The default is “Y”.
Quote Quote calculation. Valid values are “A” (average) and “C” (close). The default is “C”.
CshAdjNormal Cash Adjustment Normal. Valid values are “Y” (yes) and “N” (no). The default is “N”.
CshAdjAbnormal Cash Adjustment Abnormal. Valid values are “Y” (yes) and “N” (no). The default is “N”.
CapChg Capital Changes. Valid values are “Y” (yes) and “N” (no). The default is “N”.
Curr Currency conversion. Valid values are ISO codes such as “USD” and “GBP”.

The whole formula would look like "ih:bl:BARC LN Equity:CUR_MKT_CAP:Curr=USD".

For further details, please see the Bloomberg documentation.

Changing currency or scale

Currency

You can download series in specified currency using override Curr i.e.,:
"ih:bl:ndueacwf index:PX_LAST:Curr=ZAR"

Scale

You can scale series using override SCALING_FORMAT i.e.,:
"ih:bl:AAPL US EQUITY:CUR_MKT_CAP:SCALING_FORMAT=MLN"

K Thousands
MLN Millions
BLN Billions
TRN Trillions

For further details, please see the Bloomberg documentation.

How to work with intra-day data?

The highest frequency in Macrobond is Daily which means you cannot download Bloomberg's data as hourly. However, you can download each hour as a separate in-house series (8:00 each day = one in-house) if needed.

Troubleshooting

For errors not specified here, the best approach is to try loading the same series by using the Bloomberg Excel add-in by using the =BDH function. If you cannot load the series using the BDH function, please contact Bloomberg support.

Why I can't copy Time table with BBG series in it?

Bloomberg requests that user must not be able to download raw values of the Bloomberg’s time series through the application. Therefore, copying from Macrobond Time table, with Bloomberg series in it, will give you an error. To obtain the data, please right-click in the analysis tree and use Copy as Excel dataset.

Unknown series prefix

If you get an error like 'Unknown series prefix' when trying to specify a Bloomberg series in the Series list, please verify that the Bloomberg connector has been enabled in Macrobond as described in the section Enabling the Bloomberg connector.

Communicates from Bloomberg Terminal

Monthly limit reached

This is a message from the Bloomberg Terminal - it appears that there is a monthly limit of series that you can pull into Excel (and other applications) per Bloomberg terminal. Please contact Bloomberg support regarding this matter.

Workflow review needed

This is a message from the Bloomberg Terminal - it seems that you won't be able to pull more data via Bloomberg Connector without checking in with them. They have likely looked at your past activity, and deemed it unusual. Please contact Bloomberg support regarding this matter.