Bloomberg FTP Historic Volume Data

Here is an example request file to get volume data from Bloomberg:

START-OF-FILE
FIRMNAME=XXXXX
SECID=TICKER
PROGRAMFLAG=adhoc
PROGRAMNAME=gethistory
REPLYFILENAME=volume_data.out
COLUMNHEADER=yes
SECMASTER=yes
CLOSINGVALUES=yes
DERIVED=yes
COMPRESS=no
DELIMITER=,
HEADER=no
DATERANGE=31

START-OF-FIELDS
VOLUME
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 volume data request are the following:

• DATERANGE — parameter to determine how much data to request. Integer means N days in the past from today.
• PROGRAMNAME — need to use gethistory program 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.
• VOLUME field — name of the bloomberg field for the volume data.

The result should look like the following:

START SECURITY,ES1 Index,VOLUME,
ES1 Index,01/03/2023,1000000,
ES1 Index,01/04/2023,1100000,
ES1 Index,01/05/2023,1200000,
ES1 Index,01/06/2023,1300000,
END SECURITY,ES1 Index,VOLUME,0,