It can now take multiple simultaneous securities requests for current data, for a speedup of about 20x. You can download the WSTP conduits and source code at Github. https://github.com/MichaelSternNYC Sample below with some of The Economist‘s Big Mac Indices.


indices = {"BIGMUS", "BIGMBZ", "BIGMMX"};

DateListPlot[data, PlotStyle -> {Red, Blue, Purple}, PlotRange -> {1.1, 6.4}, Frame -> {True, True, False, False}, PlotLabel -> "Global Big Mac Prices (USD)", Epilog -> {(Text[Style["U.S.", FontFamily -> "Calibri", FontSize -> 10, Red], {{2007, 1, 10, 16}, 3.4}]), (Text[Style["Brazil", FontFamily -> "Calibri", FontSize -> 10, Blue], {{2007, 5, 10, 16}, 4}]), (Text[Style["Mexico", FontFamily -> "Calibri", FontSize -> 10, Purple], {{2007, 1, 10, 16}, 2.3}])}, ImageSize -> Large];

Those who use Bloomberg and Mathematica should find this useful. This interface allows the direct loading of Bloomberg data (historical prices, bulk data like dividends, current data like stock prices, etc.) into Mathematica. I’ve made the interface freely available since 2008, but this release represents the largest changes in over six years. Most importantly, it can now handle bulk data like current holders of a security and historical dividends, and it’s much more robust about errors.

Historically I’ve thrown source code in the .zip file with the binaries but starting with this release, the source code and the binaries will be in separate GitHub repositories. See https://github.com/MichaelSternNYC for everything. If you just want to install the links, check out https://github.com/MichaelSternNYC/bloomberg-to-mathematica in particular.


histLink = msBBGgetHistoryMakeLinkObject[];

x1 = msBBGgetHistory["IBM US Equity", "Px_Last", {2014, 1, 1}, "",
"Day", "use DPDF" -> False, LinkObject -> histLink];
x2 = msBBGgetHistory["IBM US Equity", "Px_Last", {2014, 1, 1}, "",
"Day", "use DPDF" -> True, LinkObject -> histLink];
DateListPlot[{x1, x2}, PlotStyle -> {Orange, Purple},
PlotLabel -> "IBM Stock Price via the new interface",
ImageSize -> Large,
Epilog -> {(Text[
Style["not dividend-adjusted", FontFamily -> "Times New Roman",
FontSize -> 10, Orange], {{2015, 1, 22}, 169}]),
(Text[Style["dividend-adjusted", FontFamily -> "Times New Roman",
FontSize -> 10, Purple], {{2015, 1, 22}, 140}])
}]

I’ve been making significant changes to the Bloomberg-to-Mathematica link recently, including

1. the ability to specify whether historical data has DPDF adjustments (in other words, whether or not prices have been adjusted for dividends, splits, and other capital events),
2. the ability to pull bulk data like historical dividend records and current holders, and
3. the ability to keep the link live between queries, significantly reducing latency.

Other improvements include more sophisticated handling and reporting of errors and more widespread use of modern Mathematica data types (Associations and TimeSeries). I will provide all the source code, perhaps in the form of a GitHub depository. The new and improved functions are based on Wolfram’s current WSTP libraries and the current version of the Bloomberg BLP API. I’ve built to 32-bit architecture but I believe that 64-bit versions should be possible as well.

I’m waiting for Bloomberg to help with one source of crashes (when a company announces a distribution but cancels it before record date). When that’s taken care of I will upload the improved binaries and interfaces, etc. Those who want to play with the source code should visit https://github.com/MichaelSternNYC

[update March 7, 2016: the new executables are also available on Github, at https://github.com/MichaelSternNYC/bloomberg-to-mathematica]