Bloomberg Economic Release Parser

1 Introduction

We provide a compact method for pulling historical U.S. economic release information from Bloomberg, updating the required excel spreadsheet and formatting the series as a continuous time series.

2 Software Dependencies

• Python 3.6 system environment with at least 1 GB of memory and the following libraries installed (i.e., Pandas, Numpy, Time)
• Bloomberg Professional Services for historical data

3 Code Structure

3.1 Input

• ECO_RELEASES.xslx which contains Bloomberg formulas designed to automatically pull economic release information (e.g. US Nonfarm Payrolls). This spreadsheet is updated if and only if a Bloomberg Terminal is active.

3.2 Output

• bloomberg_economic_releases.csv contains the cleaned series of economic variables organized from oldest to most recent.

4 Running Code

Our code file runs exclusive from our single python script main.py. This script can be run via IDE or terminal, provided correct Python compiler location is provided from the header.

1. Login into your Bloomberg Professional Service account, you will need it to retrieve data.
2. Open the ECO_RELEASES.xslx, go to the Bloomberg tab on Excel and click the Refresh Worksheets icon to update the Bloomberg formulas, populating the data fields.
3. After data has been updated, run the main.py in a Python editor or via command line terminal to produce the cleaned series stored in the Output folder under the name bloomberg_economic_releases.csv. Note if using the command line be sure to modify the pathing within the script to point to the correct Python compiler.

Refer to the table below for a sample output.

RELEASE_DATE	TICKER	NAME	ACTUAL_RELEASE	ECO_RELEASE_DT	BN_SURVEY_MEDIAN	BN_SURVEY_AVERAGE	BN_SURVEY_HIGH	BN_SURVEY_LOW	FORECAST_STANDARD_DEVIATION	BN_SURVEY_NUMBER_OBSERVATIONS	RELEVANCE_VALUE	SURPRISES	ZSCORE
1/20/2000 0:00	INJCJC Index	US Initial Jobless Claims SA	272	20000120	295	293.6	310	284	6	23	97.6378	-23	-3.833333333
1/20/2000 0:00	OUTFGAF Index	Philadelphia Fed Business Outlook Survey Diffusion Index General Conditions	9.1	20000120	12	11.73	18	4.2	3.2	28	77.4803	-2.9	-0.90625
1/25/2000 0:00	CONCCONF Index	Conference Board Consumer Confidence SA 1985=100	144.7	20000125	142.5	142.13	147	138	1.8	35	93.7008	2.2	1.222222222

5 Possible Extensions

• Extend the number of economic variables being examined
• Expand on the number of countries being examined/retrieved

6 Contributors

• Rajesh Rao (Sr. Research Analyst)