I’ve been making significant changes to the Bloomberg-to-Mathematica link recently, including
- 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),
- the ability to pull bulk data like historical dividend records and current holders, and
- 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]