I'm currently working with an blpapi and trying to get a bdh of an index including weekends. (I'll later need to match this df with another date vector.) I'm allready using
con.bdh([Index],['PX_LAST'],'19910102', today.strftime('%Y%m%d'), [("periodicitySelection", "DAILY")])
but this will return only weekdays (mon - fr). I know how this works in excel with the bbg function-builder but not sure about the wording within the blpapi.
Since I'll need always the first of each month,
con.bdh([Index],['PX_LAST'],'19910102', today.strftime('%Y%m%d'), [("periodicitySelection", "MONTHLY")])
wont work as well because it will return 28,30,31 and so.
Can anyone help here? THX!
You can use a combination of:
"nonTradingDayFillOption", "ALL_CALENDAR_DAYS" # include all days
"nonTradingDayFillMethod", "PREVIOUS_VALUE" # fill non-trading days with previous value