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BLPData for SVOL Equity has an issue

Open JGLEEJG2 opened this issue 8 months ago • 0 comments

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!!!

JGLEEJG2 avatar Jun 05 '24 15:06 JGLEEJG2