Bloomberg FTP Historic Price Data
Here is an example request file to get historic price data from Bloomberg:
START-OF-FILE FIRMNAME=XXXXX SECID=TICKER PROGRAMFLAG=adhoc PROGRAMNAME=gethistory HIST_FORMAT=horizontal REPLYFILENAME=price_data.out COLUMNHEADER=yes SECMASTER=yes DERIVED=yes DELIMITER=, HEADER=no DATERANGE=31 START-OF-FIELDS PX_OPEN PX_SETTLE PX_LAST END-OF-FIELDS START-OF-DATA ES1 Index END-OF-DATA END-OF-FILE
For the detailed description of common request parameters, refer to the Bloomberg FTP Intro.
The parameters relevant to the price data request are the following:
DATERANGE— parameter to determine how much data to request. Integer means
Ndays in the past from today.
PROGRAMNAME— need to use
gethistoryprogram here since we want data for a time period.
ES1 Index— name of the instrument. Here we use index for S&P 500 Generic Futures.
Commonly used fields for security pricing include:
PX_OPEN— price at which the security first traded on a given day.
PX_SETTLE— official closing price determined by the closing range that is used to calculate gains and losses, margin calls and invoice prices. For CME group of exchanges: the final settlement price represents the Settlement at Clearing Tick which is the instrument's settlement price at the clearing tick precision for all products.
PX_LAST— last price for the security. Returns the last price provided by the exchange.
The result should look like the following:
START SECURITY,ES1 Index,PX_OPEN,PX_SETTLE,PX_LAST, ES1 Index,01/03/2023,1000.00,1001.00,1000.00, ES1 Index,01/04/2023,1000.00,1001.00,1000.00, ES1 Index,01/05/2023,1000.00,1001.00,1000.00, ES1 Index,01/06/2023,1000.00,1001.00,1000.00, END SECURITY,ES1 Index,PX_OPEN,PX_SETTLE,PX_LAST,