Bloomberg in Excel - Live Dealer Prices for Agency Bonds
Bloomberg in Excel - Live Dealer Prices for Agency Bonds
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External question — Quantitative Finance Stack Exchange
Author: OOK
Original post: https://quant.stackexchange.com/questions/85264
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
Working at a broker dealer focusing on the GSE's for now. Using my (light) programming knowledge - python, vba - to help build some models.
The latest thing I have been exploring is a way to gather live prices for GSE bonds, allowing live charts, analysis, etc. Right now this can be done using BDP for a single CUSIP only by using the PCS Broker Code for each dealer pricing each security:
=BDP("cusip @
PCS
Corp","PX_ASK")
This could lead to having 50+ BDP dealer codes for each CUSIP, and with potentially hundreds of bonds this might blow the data limits.
Is there a way to do this more efficiently like pulling the list of dealers pricing each security so we don’t have “ghost” codes using data points?
Or a way to screen via BQL for securities that have a live ASK price/size shown on ALLQ? (Dealer, not BVAL/IBVL as those do not seem to be accurate in this market)
Trying to use this to build live issuer yield curves.
Any insights are much appreciated!
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: OOK Source score (net votes, not local likes): 1 Original post: https://quant.stackexchange.com/questions/85264 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Working at a broker dealer focusing on the GSE's for now. Using my (light) programming knowledge - python, vba - to help build some models. The latest thing I have been exploring is a way to gather live prices for GSE bonds, allowing live charts, analysis, etc. Right now this can be done using BDP for a single CUSIP only by using the PCS Broker Code for each dealer pricing each security: =BDP("cusip @ PCS Corp","PX_ASK") This could lead to having 50+ BDP dealer codes for each CUSIP, and with potentially hundreds of bonds this might blow the data limits. Is there a way to do this more efficiently like pulling the list of dealers pricing each security so we don’t have “ghost” codes using data points? Or a way to screen via BQL for securities that have a live ASK price/size shown on ALLQ? (Dealer, not BVAL/IBVL as those do not seem to be accurate in this market) Trying to use this to build live issuer yield curves. Any insights are much appreciated!
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