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BLPData for SVOL Equity has an issue #23

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JGLEEJG2 opened this issue Jun 5, 2024 · 0 comments
Open

BLPData for SVOL Equity has an issue #23

JGLEEJG2 opened this issue Jun 5, 2024 · 0 comments

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@JGLEEJG2
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JGLEEJG2 commented Jun 5, 2024

sDate = Date(2021,5,13)
eDate = Date(2024,4,30)
eDate = Dates.today() - Dates.Day(1)
ticker1 = ["SVOL US Equity"]
ticker2 = ["SVOL"]

raw_data = BLPData.bdh(session, ticker1, "PX_LAST", sDate, eDate, options = BBG_OPT(1))

Bloomberg NYSE holidays options #A

function BBG_OPT(input)
if input == 1
options = Dict(
"periodicityAdjustment" => "CALENDAR",
"periodicitySelection" => "DAILY",
"CDR" => "#A",
"pricingOption" => "PRICING_OPTION_PRICE",
"nonTradingDayFillOption" => "ACTIVE_DAYS_ONLY",
"nonTradingDayFillMethod" => "NIL_VALUE",
"adjustmentFollowDPDF" => false,
"adjustmentNormal" => true,
"adjustmentAbnormal" => true,
"adjustmentSplit" => true
)
else
options = Dict(
"periodicityAdjustment" => "CALENDAR",
"periodicitySelection" => "DAILY",
"CDR" => "5D",
"pricingOption" => "PRICING_OPTION_PRICE",
"nonTradingDayFillOption" => "ACTIVE_DAYS_ONLY",
"nonTradingDayFillMethod" => "NIL_VALUE",
"adjustmentFollowDPDF" => false,
"adjustmentNormal" => true,
"adjustmentAbnormal" => true,
"adjustmentSplit" => true
)
end
return options
end

This code generates wrong price for SVOL. Price was wrong for earlier periods of 2021 and 2022. I tested Python and Excel API, both are correct and only BLPData has wrong price was pulled.
Please help!!!

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