Data Subscription

[mg3146]

Hi - is there a way to get a data subscription without having to use blp.live and sort through the stream? For example, like what was done in the blpapi/examples/demoapps subscription examples

[mg3146]

Or - are you able to implement support for a 'snapshot' model?

I'm basically looking to do a blp.bdp() with quite a bit of frequency - which will blow data limits. So if there is a way to do the same thing in stream, I would love to see an example! As it is now, the stream is fairly messy as I would have to concat all the data at the 'snapshot' time (as the INITPAINT is the only return type that has a complete data set)

[alpha-xone]

It is not recommended to concat data from blp.live. The use case is more like an Excel - updating data streams in one place (an example: https://medium.com/p/61ff2116724a). For interval data, you can download with blp.bdib.

If you're not subscribing to a huge universe of tickers, you shouldn't run into data limit issues - your Excel is doing live updating all the time.

[mg3146]

Yah, I didn't think I would run into issues either, but got the dreaded feed limit error. I have a list of ~50 tickers, 5 fields (bid, ask, last_price, bidsize, asksize) that I'm looking to refresh every 2 seconds. I figured a quick blp.bdp() in a 2 second loop wouldn't be an issue, but it caused the data limit issue after a few hours of running.... I'm open to ideas!

[alpha-xone]

For 50 ticker, blp.live can pull data nonstop for much longer period of time.

The reason behind could be blp.bdp and blp.live are different in terms of consuming data limits. Can confirm with helpdesk and give it a try.

[mg3146]

Yeah I ended up going the live route, and just doing some dictionary lookups/sets.  Thx for your help.

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On Aug 17, 2022, 8:07 PM -0400, alpha-xone ***@***.***>, wrote: For 50 ticker, blp.live can pull data nonstop for much longer period of time. The reason behind could be blp.bdp and blp.live are different in terms of consuming data limits. Can confirm with helpdesk and give it a try. — Reply to this email directly, view it on GitHub, or unsubscribe. You are receiving this because you authored the thread.Message ID: ***@***.***>