Commit 5158f0d4 authored by Carlos Ungil's avatar Carlos Ungil
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README.md

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```

;; tested on Windows (SBCL 64-bit, ClozurCL 32/64-bit, Lispworks 6.0 32-bit)

;; the test suite should run without any errors: (asdf:test-system :bloomie)



(ql:quickload :bloomie)



(bb:open-session)



;; FIELDS



(bb:field-info "MILITARY_REVENUE")

(bb:field-info "M1090")

(bb:field-info '("px_last" "pe_ratio") :documentation nil)



(mapcar #'bb:field-mnemonic (bb:field-search "military"))



(loop for cat in (bb:categorized-field-search "PRESID*")

   do (format t "~&~A :~{ ~A~}" (bb:category-name cat)

	      (loop for fld in (bb:category-fields cat) collect (bb:field-mnemonic fld))))



(length (bb:field-list :type :real-time))

(length (bb:field-list :type :static)) ;; 57k+ fields



;; INSTRUMENTS



(bb:instruments "entropy")

(bb:instruments "entropy" :max-results 5)

(bb:instruments "entropy" :yellow-key :corp)

(bb:instruments "entropy" :yellow-key :indx)



(bb:govt "rome")

(bb:govt "rome" :max-results 1)

(bb:govt "rome" :ticker "ROM")

(bb:govt "rome" :ticker "ROM" :partial-match nil)

(bb:govt "rome" :ticker "ROMCTY" :partial-match nil)



(bb:curve "genev")

(bb:curve "" :curve-id "bi758")

(bb:curve "garch" :currency-code "CHF" :max-results 3)

(bb:curve "" :currency-code :chf :type :irs)

(mapcar #'curve-currency (bb:curve nil :currency-code "jpy" :subtype "spread"))



;; REFERENCE



(bb:bdp '("AAPL US Equity" "MSFT US Equity") '("PX_LAST" "BEST_EPS"))

(bb:bdp '("AAPL US Equity" "MSFT US Equity") '("XXXXXX" "YYYYYY" "PX_LAST"))

(bb:bdp '("AAAAPLE US Equity" "MSFT US Equity") '("XXXXXX" "YYYYYY" "PX_LAST"))

(let ((bb:*raise-all-errors* t))

  (bb:bdp '("AAAAPL US Equity" "MSFT US Equity") '("XXXXXX" "YYYYYY" "PX_LAST")))



;; HISTORICAL



(bb:bdh '("AAPL US Equity" "MSFT US Equity") '("PX_LAST" "VOLUME")

	:start-date "20170501" :end-date "20170510" :periodicity :daily)

(bb:bdh "AAPL US Equity" "PE_RATIO" :start-date "1995-12-31" :periodicity :yearly)



;; INTRADAY BARS



(bb:ibar "AAPL US Equity" "BID" :bar-size '(4 :hour)

	 :start-date-time "2017-08-08" :end-date-time "2017-08-11")

(bb:ibar "AAPL US Equity" "TRADE" :bar-size '(1 :m)

	 :start-date-time "2017-08-08T14" :end-date-time "2017-08-08T14:05")



;; PORTFOLIO



(bb:portfolio-tickers "U12345678-1")

(bb:portfolio-tickers "U12345678-1" "2017-08-04")

(bb:portfolio-weights "U12345678-1")

(bb:portfolio-positions "U12345678-1")

(bb:portfolio-data "U12345678-1")

(bb:portfolio-data "XXX")



;; EQUITY SCREENING



(bb:screen-tickers "Global Automotive Parts Retailers")

(bb:screen-tickers "Global Automotive Parts Retailers" :folder "General")

(bb:screen-tickers "Global Automotive Parts Retailers" :folder "Popular")



;; EARNINGS



(bb:get-earnings-dates "AAPL US")

(bb:get-earnings "AAPL US" :start "2016-12-31")

(bb:get-earnings "AAPL US" :start "2016-12-31" :currency "EUR")



;; PRODUCTS



(loop for ticker in (bb:index-composition "SPX") for prods = (bb:product-list ticker)

   when prods do (format t "~A~10T~A~&" ticker (length prods)))

(bb:product-list "VRTX US")

(bb:product-forecast "VRTX US" "Orkambi")

(bb:product-forecast "VRTX US" "Orkambi" :year '(2017 2018 2019 2020))

(bb:product-forecast "VRTX US" "Orkambi" :year 2020 :source :all)

(bb:product-forecast "VRTX US" "Orkambi" :stat :all)

(bb:product-forecast "VRTX US" "Orkambi" :stat :revisions)



;; EXPORT SCHEMAS AND FIELD DEFINITIONS



(bb:document-schemas) ;; can be incomplete, see function docstring



(bb:document-fields) ;; can be incomplete, see function docstring



(bb:close-session)

```

bloomie.asd

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(asdf:defsystem #:bloomie

    :name "bloomie"

    :serial t

    :description "BLPAPI wrapper (http://www.bloomberglabs.com/api/)"

    :author "Carlos Ungil <ungil@mac.com>"

    :license "MIT"

    :serial t

    :in-order-to ((test-op (test-op "bloomie-test")))

    :components ((:module #:ffi :pathname "ffi" :components ((:static-file "blpapi-3.11.1.1.h")))

		 (:file "package")

		 (:file "wrapper")

		 (:file "helper")

		 (:file "session")

		 (:file "values")

		 (:file "element")

		 (:file "response")

		 (:file "request")

		 ;; no CFFI / FLI especific code after this point

		 (:file "tree")

		 (:file "field-info")

		 (:file "instruments")

		 (:file "reference")

		 (:file "historical")

		 (:file "intraday")

		 (:file "screen")

		 (:file "portfolio")

		 (:file "indices")

		 (:file "earnings")

		 (:file "recommendations")

		 (:file "products"))

    :depends-on (:local-time :cl-unification #-lispworks :cl-autowrap #-lispworks :cl-plus-c))



(defsystem #:bloomie-test

    :name "bloomie test suite"

    :author "Carlos Ungil <ungil@mac.com>"

    :license "MIT"

    :depends-on (:bloomie :fiveam)

    :components ((:file "test"))

    :perform (asdf:test-op (o s) (declare (ignore o s)) (uiop:symbol-call :bloomie.test '#:run)))

earnings.lisp

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(in-package :bloomie)



(defstruct (eps-announcement (:conc-name eps-))

  period date time reported comparable estimated)



(defun get-earnings (ticker &key start end currency)

  "Returns the fiscal period, date, time and reported/comparable/estimated EPS 

for earnings announcements in the given period. The currency can also be set."

  (loop for (period date time reported comparable estimated)

     in (second (second (first (bdp (format nil "~A Equity" ticker)

				    '("EARN_ANN_DT_TIME_HIST_WITH_EPS")

				    :overrides (append

						(when start `(("START_DT" ,(bbdate start))))

						(when end `(("END_DT" ,(bbdate end))))

						(when currency `(("EQY_FUND_CRNCY" ,currency))))))))

     collect (make-eps-announcement :period period :date date :time time

				    :reported reported :comparable comparable :estimated estimated)))



(defun get-earnings-dates (ticker)

  "Returns (date fiscal-period) pairs for the whole history of earnings announcements."

  (second (second (first (bdp (format nil "~A Equity" ticker) '("ERN_ANN_DT_AND_PER"))))))

element.lisp

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(in-package :bloomie)



(defvar *data-types*

  (loop for s in (apropos-list "+BLPAPI-DATATYPE-" "BB.FFI")

     collect (cons (symbol-value s) (intern (subseq (string-trim "+" (symbol-name s)) (length "BLPAPI-DATATYPE-")) "KEYWORD"))))



#+lispworks

(setf *data-types* '((1 . :BOOL) (3 . :BYTE) (9 . :BYTEARRAY) (2 . :CHAR)

		     (16 . :CHOICE) (17 . :CORRELATION-ID) (10 . :DATE)

		     (13 . :DATETIME) (12 . :DECIMAL) (14 . :ENUMERATION)

		     (6 . :FLOAT32) (7 . :FLOAT64) (4 . :INT32) (5 . :INT64)

		     (15 . :SEQUENCE) (8 . :STRING) (11 . :TIME)))



(defun decode-data-type (x)

  (or (cdr (assoc x *data-types*)) (error "data-type ~A not in ~A" x *data-types*)))



#+lispworks

(defun get-element (elements name)

  (multiple-value-bind (res element)

      (bb.ffi::blpapi-element-get-element elements nil name nil)

    (check-errors res)

    element))



#-lispworks

(defun get-element (elements name)

  (plus-c:c-with ((element :pointer))

    (check-errors (bb.ffi:blpapi-element-get-element elements (element plus-c:&) name nil))

    (autowrap:wrap-pointer element 'bb.ffi:blpapi-element-t)))



#+lispworks

(defun set-element (elements name values)

  (let ((s (get-element elements name)))

    (dolist (val values)

      (check-errors (bb.ffi::blpapi-element-set-value-string

		     s val (fli:cast-integer -1 '(:unsigned :int)))))))



#-lispworks

(defun set-element (elements name values)

  ;;; bb.ffi:+blpapi-element-index-end+ is -1, but I cannot pass this value as :unsigned-int

  ;;; (cffi:with-foreign-object (x :unsigned-int) (setf (cffi:mem-aref x :int) -1) (cffi:mem-aref x :unsigned-int))

  (let ((s (get-element elements name)))

    (dolist (val values)

      (check-errors (bb.ffi:blpapi-element-set-value-string s val 4294967295)))))



#+lispworks

(defun append-element (elements)

  (multiple-value-bind (res element)

      (bb.ffi::blpapi-element-append-element elements nil)

    (check-errors res)

    element))



#-lispworks

(defun append-element (elements)

  (plus-c:c-with ((element :pointer))

    (check-errors (bb.ffi:blpapi-element-append-element elements (element plus-c:&)))

    (autowrap:wrap-pointer element 'bb.ffi:blpapi-element-t)))



#+lispworks

(defun get-element-at (elements i)

  (multiple-value-bind (res val)

      (bb.ffi::blpapi-element-get-element-at elements nil i)

    (check-errors res)

    val))



#-lispworks

(defun get-element-at (elements i)

  (plus-c:c-with ((val :pointer))

    (check-errors (bb.ffi:blpapi-element-get-element-at elements (val plus-c:&) i))

    val))



#+lispworks

(defun get-choice (element)

  (multiple-value-bind (res choice)

      (bb.ffi::blpapi-element-get-choice element nil)

    (check-errors res)

    choice))



#-lispworks

(defun get-choice (element)

  (plus-c:c-with ((choice :pointer))

    (check-errors (bb.ffi:blpapi-element-get-choice element (choice plus-c:&)))

    choice))



(defun element-info (element)

  (list (bb.ffi::blpapi-element-name-string element)

	:datatype (decode-data-type (bb.ffi::blpapi-element-datatype element))

	:isarray (bb.ffi::blpapi-element-is-array element)

	:nelements (bb.ffi::blpapi-element-num-elements element)

	:iscomplex (bb.ffi::blpapi-element-is-complex-type element)

	:nvalues (bb.ffi::blpapi-element-num-values element)

	:isreadonly (bb.ffi::blpapi-element-is-read-only element)

	:isnull (bb.ffi::blpapi-element-is-null element)

	:schema (decode-schema element)))



(defun decode-type-definition (def)

  (list :name (name-string-and-destroy (bb.ffi::blpapi-schema-type-definition-name def))

	:description (bb.ffi::blpapi-schema-type-definition-description def)

	:datatype (decode-data-type (bb.ffi::blpapi-schema-type-definition-datatype def))))



(defun decode-schema (element)

  (let ((def (bb.ffi::blpapi-element-definition element)))

    (list :name (name-string-and-destroy (bb.ffi::blpapi-schema-element-definition-name def))

	  :alt-names (let ((nalternative (bb.ffi::blpapi-schema-element-definition-num-alternate-names def)))

		       (if (plusp nalternative)

			   (loop for i below nalternative

			      collect (name-string-and-destroy

				       (bb.ffi::blpapi-schema-element-definition-get-alternate-name def i)))))

	  :description (bb.ffi::blpapi-schema-element-definition-description def)

	  :type (decode-type-definition (bb.ffi::blpapi-schema-element-definition-type def))

	  :status (bb.ffi::blpapi-schema-element-definition-status def)

	  :min-values (bb.ffi::blpapi-schema-element-definition-min-values def)

	  :max-values (bb.ffi::blpapi-schema-element-definition-max-values def))))



(defun decode-element (element)

  (assert (or (zerop (bb.ffi::blpapi-element-is-array element))

	      (zerop (bb.ffi::blpapi-element-is-complex-type element))))

  (assert (string= (name-string-and-destroy (bb.ffi::blpapi-element-name element))

  		   (bb.ffi::blpapi-element-name-string element)))

  (cons (intern (bb.ffi::blpapi-element-name-string element) "KEYWORD")

	(ecase (decode-data-type (bb.ffi::blpapi-element-datatype element))

	  (:date (loop for i below (bb.ffi::blpapi-element-num-values element)

		    collect (value-as-date element i)))

	  (:datetime (loop for i below (bb.ffi::blpapi-element-num-values element)

			collect (value-as-date element i t)))

	  (:bool (loop for i below (bb.ffi::blpapi-element-num-values element)

		    collect (value-as-bool element i)))

	  (:int32 (loop for i below (bb.ffi::blpapi-element-num-values element)

		     collect (value-as-int32 element i)))

	  (:int64 (loop for i below (bb.ffi::blpapi-element-num-values element)

		     collect (value-as-int64 element i)))

	  (:float64 (loop for i below (bb.ffi::blpapi-element-num-values element)

		       collect (value-as-float64 element i)))

	  (:string (loop for i below (bb.ffi::blpapi-element-num-values element)

		      collect (value-as-string element i)))

	  (:sequence (if (= 1 (bb.ffi::blpapi-element-is-array element))

			 (loop for i below (bb.ffi::blpapi-element-num-values element)

			    collect (decode-element (value-as-element element i)))

			 (loop for i below (bb.ffi::blpapi-element-num-elements element)

			    collect (decode-element (get-element-at element i)))))

	  (:enumeration (list (value-as-string element 0)))

	  (:choice (decode-element (get-choice element))))))

examples.lisp

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;; tested on Windows (SBCL 64-bit, ClozurCL 32/64-bit, Lispworks 6.0 32-bit)

;; the test suite should run without any errors: (asdf:test-system :bloomie)



(ql:quickload :bloomie)



(bb:open-session)



;; FIELDS



(bb:field-info "MILITARY_REVENUE")

(bb:field-info "M1090")

(bb:field-info '("px_last" "pe_ratio") :documentation nil)



(mapcar #'bb:field-mnemonic (bb:field-search "military"))



(loop for cat in (bb:categorized-field-search "PRESID*")

   do (format t "~&~A :~{ ~A~}" (bb:category-name cat)

	      (loop for fld in (bb:category-fields cat) collect (bb:field-mnemonic fld))))



(length (bb:field-list :type :real-time))

(length (bb:field-list :type :static)) ;; 57k+ fields



;; INSTRUMENTS



(bb:instruments "entropy")

(bb:instruments "entropy" :max-results 5)

(bb:instruments "entropy" :yellow-key :corp)

(bb:instruments "entropy" :yellow-key :indx)



(bb:govt "rome")

(bb:govt "rome" :max-results 1)

(bb:govt "rome" :ticker "ROM")

(bb:govt "rome" :ticker "ROM" :partial-match nil)

(bb:govt "rome" :ticker "ROMCTY" :partial-match nil)



(bb:curve "genev")

(bb:curve "" :curve-id "bi758")

(bb:curve "garch" :currency-code "CHF" :max-results 3)

(bb:curve "" :currency-code :chf :type :irs)

(mapcar #'curve-currency (bb:curve nil :currency-code "jpy" :subtype "spread"))



;; REFERENCE



(bb:bdp '("AAPL US Equity" "MSFT US Equity") '("PX_LAST" "BEST_EPS"))

(bb:bdp '("AAPL US Equity" "MSFT US Equity") '("XXXXXX" "YYYYYY" "PX_LAST"))

(bb:bdp '("AAAAPLE US Equity" "MSFT US Equity") '("XXXXXX" "YYYYYY" "PX_LAST"))

(let ((bb:*raise-all-errors* t))

  (bb:bdp '("AAAAPL US Equity" "MSFT US Equity") '("XXXXXX" "YYYYYY" "PX_LAST")))



;; HISTORICAL



(bb:bdh '("AAPL US Equity" "MSFT US Equity") '("PX_LAST" "VOLUME")

	:start-date "20170501" :end-date "20170510" :periodicity :daily)

(bb:bdh "AAPL US Equity" "PE_RATIO" :start-date "1995-12-31" :periodicity :yearly)



;; INTRADAY BARS



(bb:ibar "AAPL US Equity" "BID" :bar-size '(4 :hour)

	 :start-date-time "2017-08-08" :end-date-time "2017-08-11")

(bb:ibar "AAPL US Equity" "TRADE" :bar-size '(1 :m)

	 :start-date-time "2017-08-08T14" :end-date-time "2017-08-08T14:05")



;; PORTFOLIO



(bb:portfolio-tickers "U12345678-1")

(bb:portfolio-tickers "U12345678-1" "2017-08-04")

(bb:portfolio-weights "U12345678-1")

(bb:portfolio-positions "U12345678-1")

(bb:portfolio-data "U12345678-1")

(bb:portfolio-data "XXX")



;; EQUITY SCREENING



(bb:screen-tickers "Global Automotive Parts Retailers")

(bb:screen-tickers "Global Automotive Parts Retailers" :folder "General")

(bb:screen-tickers "Global Automotive Parts Retailers" :folder "Popular")



;; EARNINGS



(bb:get-earnings-dates "AAPL US")

(bb:get-earnings "AAPL US" :start "2016-12-31")

(bb:get-earnings "AAPL US" :start "2016-12-31" :currency "EUR")



;; PRODUCTS



(loop for ticker in (bb:index-composition "SPX") for prods = (bb:product-list ticker)

   when prods do (format t "~A~10T~A~&" ticker (length prods)))

(bb:product-list "VRTX US")

(bb:product-forecast "VRTX US" "Orkambi")

(bb:product-forecast "VRTX US" "Orkambi" :year '(2017 2018 2019 2020))

(bb:product-forecast "VRTX US" "Orkambi" :year 2020 :source :all)

(bb:product-forecast "VRTX US" "Orkambi" :stat :all)

(bb:product-forecast "VRTX US" "Orkambi" :stat :revisions)



;; EXPORT SCHEMAS AND FIELD DEFINITIONS



(bb:document-schemas) ;; can be incomplete, see function docstring



(bb:document-fields) ;; can be incomplete, see function docstring



(bb:close-session)