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dgn2


Total Posts: 2047
Joined: May 2004
 
Posted: 2016-08-12 00:38
Has anyone done this in python? I have R code to fetch historical index components from BB, but I would prefer a python implementation.

...WARNING: I am an optimal f'er

dgn2


Total Posts: 2047
Joined: May 2004
 
Posted: 2016-08-23 05:05
I was able to get this to work in python. Now I am trying to find the equivalent field name for ETF holdings. After searching in FLDS for about 2h I have given up. Does anyone know the Bloomberg field name for the historical holdings associated with ETFs? I am looking for the 'Bulk Data' list.

...WARNING: I am an optimal f'er

cordura21


Total Posts: 228
Joined: Aug 2009
 
Posted: 2016-08-24 00:05
The only thing you can do AFAIK is to download the list of the top 10 holdings. There's a field for that.

Vespertilio homo est cientificus

dgn2


Total Posts: 2047
Joined: May 2004
 
Posted: 2016-08-25 04:36
Thanks cordura21. I did see the top 10 holdings field.

I can likely just subscribe to the indices we use for benchmarks, and then access the holdings using the 'INDX_MWEIGHT_HIST' field. I have been using the ETFs as a proxy to my benchmarks because I can access the holdings in PORT without a subscription to the underlying index.

At home I use web-scraping to get the ETF holdings each day, but at work I am looking for a more legitimate approach.

...WARNING: I am an optimal f'er

cordura21


Total Posts: 228
Joined: Aug 2009
 
Posted: 2016-08-25 16:55
I don't know the subscription costs but if it is not expensive I'll go that way too. as you know, some etfs like the EEM are quite different.

If you go the etf way, I don't see the web-scraping approach as a bad one, since you are getting the data from the source.

Cheers, Cord

Vespertilio homo est cientificus

contango_and_cash


Total Posts: 67
Joined: Sep 2015
 
Posted: 2016-09-15 14:45
@dgn2

If you want you can pay me and I can web scrape for you. My company will be very legitimate.
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