Bloomberg Api for Python：结果中缺少部分结果

Question

我使用bloomberg api for python来获取选项数据。首先，我得到了选项链的所有符号。然后我用它们来获得出价和询问价格。通过函数getOptionChain，有超过400个选项，我检查了结果，这很好。但是，当我运行getPX函数时，最终只有10个结果。有谁能帮我看看这个吗？提前致谢！

import blpapi 
 
import pandas 
 
import csv 
 
options = blpapi.SessionOptions() 
 
options.setServerHost('localhost') 
 
options.setServerPort(8194) 
 

 
SECURITY_DATA = blpapi.Name("securityData") 
 
SECURITY = blpapi.Name("security") 
 
FIELD_DATA = blpapi.Name("fieldData") 
 
FIELD_ID = blpapi.Name("fieldId") 
 
OPT_CHAIN = blpapi.Name("OPT_CHAIN") 
 
SECURITY_DES = blpapi.Name("Security Description") 
 

 

 
def getOptionChain (sec_list): 
 
    session = blpapi.Session(options) 
 
    session.start() 
 
    session.openService('//blp/refdata') 
 
    refDataService = session.getService("//blp/refdata") 
 
    request = refDataService.createRequest("ReferenceDataRequest") 
 
    for s in sec_list: 
 
     request.append("securities",s) 
 
    request.append("fields", "OPT_CHAIN") 
 
    cid = session.sendRequest(request) 
 
    try: 
 
     # Process received events 
 
     while(True): 
 
      # We provide timeout to give the chance to Ctrl+C handling: 
 
      ev = session.nextEvent(500) 
 
      response = [] 
 
      for msg in ev: 
 
       if cid in msg.correlationIds(): 
 
        securityDataArray = msg.getElement(SECURITY_DATA) 
 
        for securityData in securityDataArray.values(): 
 
         fieldData = securityData.getElement(FIELD_DATA) 
 
         for field in fieldData.elements(): 
 
          for n in range(field.numValues()): 
 
           fld = field.getValueAsElement(n) 
 
           response.append (fld.getElement(SECURITY_DES).getValueAsString()) 
 
      # Response completely received, so we could exit 
 
      if ev.eventType() == blpapi.Event.RESPONSE: 
 
       break 
 
    finally: 
 
     # Stop the session 
 
     session.stop() 
 
    return response 
 

 

 

 
def getPX (sec_list, fld_list): 
 
    opt_chain_list = getOptionChain(sec_list) 
 
    session = blpapi.Session(options) 
 
    session.start() 
 
    session.openService('//blp/refdata') 
 
    refDataService = session.getService("//blp/refdata") 
 
    request = refDataService.createRequest("ReferenceDataRequest") 
 
    for s in opt_chain_list: 
 
     request.append("securities",s) 
 
    for f in fld_list: 
 
     request.append("fields",f) 
 
    cid = session.sendRequest(request) 
 
    try: 
 
     # Process received events 
 
     while(True): 
 
      # We provide timeout to give the chance to Ctrl+C handling: 
 
      ev = session.nextEvent(500) 
 
      response = {} 
 
      for msg in ev: 
 
       if cid in msg.correlationIds(): 
 
        securityDataArray = msg.getElement(SECURITY_DATA) 
 
        for securityData in securityDataArray.values(): 
 
         secName = securityData.getElementAsString(SECURITY) 
 
         fieldData = securityData.getElement(FIELD_DATA) 
 
         response[secName] = {} 
 
         for field in fieldData.elements(): 
 
          response[secName][field.name()] = field.getValueAsFloat() 
 
      # Response completely received, so we could exit 
 
      if ev.eventType() == blpapi.Event.RESPONSE: 
 
       break 
 
    finally: 
 
     # Stop the session 
 
     session.stop()     
 
    tempdict = {} 
 
    for r in response: 
 
     tempdict[r] = pandas.Series(response[r]) 
 
     data = pandas.DataFrame(tempdict) 
 
    return data 
 
       
 

 
sec = ["IBM US Equity"] 
 
fld = ["PX_ASK","PX_BID"] 
 
getPX(sec,fld)

Answer 1

看起来你已经得到了 “响应= {}” 在错误的地方。 目前，您正在循环的每次迭代中清除，因此每个事件都会重新填充它。 如果您将“response = {}”移到“While（True）”之前：“每次迭代都会附加到它，而不是清理和重新填充。

第一个函数也是如此，但是在这种情况下，批量数据在单个事件中返回。如果您使用多个证券，您会看到同样的问题（一个Bloomberg refdata（部分）回复包含最多10个证券的数据）。