Merge pull request #22 from obronco/mktbar_feature

mktbar feature
matthewgilbert · Feb 11, 2023 · a413d2d · a413d2d
2 parents 5a08abb + 1f73c09
commit a413d2d
Show file tree

Hide file tree

Showing 2 changed files with 24 additions and 7 deletions.
diff --git a/doc/source/quickstart.ipynb b/doc/source/quickstart.ipynb
@@ -1608,17 +1608,15 @@
     }
    ],
    "source": [
+    "# Ticks\n",
     "with blp.BlpStream() as bs:\n",
     "    bs.subscribe({\"USDCAD Curncy\": {\"fields\": [\"LAST_PRICE\"]}})\n",
     "    n = 0\n",
     "    for ev in bs.events(timeout=60):\n",
     "        print(json.dumps(ev, indent=2, cls=CustomJSONEncoder))\n",
     "        n += 1\n",
     "        if n > 1:\n",
-    "            break\n",
-    "\n",
-    "\n",
-    "\n"
+    "            break\n"
    ]
   },
   {
@@ -1627,7 +1625,22 @@
    "id": "dying-gabriel",
    "metadata": {},
    "outputs": [],
-   "source": []
+   "source": [
+    "# Bars\n",
+    "with blp.BlpStream(setDefaultSubscriptionService=\"//blp/mktbar\") as bs:\n",
+    "    bs.subscribe({\n",
+    "        \"USDCAD Curncy\": {\n",
+    "            \"fields\": [\"LAST_PRICE\"],\n",
+    "            \"options\": \"interval=1&start_time=00:00&end_time=23:59\"\n",
+    "        }\n",
+    "    })\n",
+    "    n = 0\n",
+    "    for ev in bs.events(timeout=60):\n",
+    "        print(json.dumps(ev, indent=2, cls=CustomJSONEncoder))\n",
+    "        n += 1\n",
+    "        if n > 1:\n",
+    "            break\n"
+   ]
   }
  ],
  "metadata": {

diff --git a/src/blp/blp.py b/src/blp/blp.py
@@ -38,7 +38,11 @@
 _TOKEN_FAILURE = blpapi.Name("TokenGenerationFailure")
 _SESSION_TERMINATED = blpapi.Name("SessionTerminated")
 _SESSION_DOWN = blpapi.Name("SessionConnectionDown")
-_MARKET_DATA_EVENTS = blpapi.Name("MarketDataEvents")
+_MARKET_DATA_EVENTS = [
+    blpapi.Name("MarketDataEvents"),
+    blpapi.Name("MarketBarStart"),
+    blpapi.Name("MarketBarUpdate")
+]
 
 logger = logging.getLogger(__name__)
 
@@ -333,7 +337,7 @@ def subscription_status_event(self, event):
     def marketdata_event(self, event):
         event_name = _EVENT_DICT[event.eventType()]
         for n, msg in enumerate(event):
-            if msg.messageType() == _MARKET_DATA_EVENTS:
+            if msg.messageType() in _MARKET_DATA_EVENTS:
                 self.data_queue.put(message_to_dict(msg))
             else:
                 self.other_message(event_name, n, msg)