BBGsymbols provides a
collection of Bloomberg related helper datasets conveniently packaged
for consumption in R.
Install the development version from github with:
devtools::install_github("bautheac/BBGsymbols")
.
The fields
dataset gathers common Bloomberg query fields. It provides
popular historical and contemporaneous data fields that are likely to
provide the necessary information and beyond for any rigorous research
or more applied work in finance and financial economics. Financial
instruments covered at the time of writing include ‘equity’, referring
to any equity like security, ‘fund’ encompassing any money managing
entity and ‘futures’ covering the futures markets. The author welcomes
pull requests that could help expanding the current coverage.
library(BBGsymbols)
head(fields)
#> instrument book type subtype section subsection
#> 1 equity key stats adjusted highlights <NA> <NA> <NA>
#> 2 equity key stats adjusted highlights <NA> <NA> <NA>
#> 3 equity key stats adjusted highlights <NA> <NA> <NA>
#> 4 equity key stats adjusted highlights <NA> <NA> <NA>
#> 5 equity key stats adjusted highlights <NA> <NA> <NA>
#> 6 equity key stats adjusted highlights <NA> <NA> <NA>
#> name
#> 1 market capitalization
#> 2 enterprise value
#> 3 adjusted revenue
#> 4 adjusted gross profit
#> 5 adjusted earnings before interest, tax, depreciation & amortization (EBITDA)
#> 6 adjusted net income
#> id symbol
#> 1 RR250 HISTORICAL_MARKET_CAP
#> 2 RR472 ENTERPRISE_VALUE
#> 3 IS010 SALES_REV_TURN
#> 4 RR861 GROSS_PROFIT
#> 5 RR009 EBITDA
#> 6 RR530 EARN_FOR_COMMON
#> description
#> 1 Total market value of all of a company's outstanding shares at period-end date stated in the company's fundamental currency (DS215, EQY_FUND_CRNCY). The period-end date is the most recent for which full fundamental data has been collected. Calculated as:\n\nShares Outstanding * Last Closing Price\n\nWhere:\nShares Outstanding is BS081, BS_SH_OUT\nLast Closing Price is PR005, PX_LAST\n\nShares Outstanding excludes treasury shares (BS091, BS_NUM_OF_TSY_SH)\n\nFor multiple share companies, market cap is the sum of market capitalization of all classes of common stock at period end date.\n\nFor current market cap, please refer to RR902, CUR_MKT_CAP \n\nFigure is reported in million; the Scaling Format Override (DY339,SCALING_FORMAT) can be used to change the display units for the field.
#> 2 INDUSTRIALS, FINANCIALS, INSURANCE, UTILITIES, & REITS\n\nMeasure of a company's theoretical takeover price. Calculated as: \n\nMarket Capitalization + EV Components\n\nWhere:\nHistorical Market Capitalization is RR250, HISTORICAL_MARKET_CAP\nEV Components is RR968, CUR_EV_COMPONENT \n\nMarket Capitalization calculation excludes Number of Treasury Shares (BS091, BS_NUM_OF_TSY_SH).\n\nFor limited partnerships, enterprise value is the value of the limited partner, and does not include any value assigned to the general partner.\n\nThe field returns the value in the fundamental Currency Override (DS215, EQY_FUND_CRNCY)\n\nFor current enterprise value, in the fundamental currency, use Current Enterprise Value (RR905, CURR_ENTP_VAL).\n\nFor current enterprise value in another currency, use Currency Adjusted Current Enterprise Value (RR937, CRNCY_ADJ_CURR_EV).\n\nFigure is reported in million; the Scaling Format Override (DY339, SCALING_FORMAT) can be used to change the display units for the field.\n\nThe related fields referenced herein may not be available in all enterprise products.
#> 3 INDUSTRIALS\nAmount of sales generated by a company after the deduction of sales returns, allowances, discounts, and sales based taxes. Includes revenues from financial subsidiaries in industrial companies if the consolidation includes those subsidiaries throughout the report. Includes subsidies from federal or local government in certain industries (i.e. transportation or utilities). Excludes turnover from joint ventures and/or associates. Excludes inter-company revenue. Excludes revenues from discontinued operations. Figure is reported in millions; the Scaling Format Override (DY339, SCALING_FORMAT) can be used to change the display units for the field. Users can set their preference to return 'GAAP' (Generally Accepted Accounting Principles) or 'ADJUSTED' data through Fundamental Analysis Defaults. The field FA Adjusted Financials Override (DT094, FA_ADJUSTED) can be used to return Adjusted (excluding abnormal items) data ('Y') or GAAP data ('N').\n\nBANKS & FINANCIALS\nGross revenue from any operating activity. Total revenue is defined as the sum of total interest income, investment income, trading profit (loss), commissions and fees earned and other operating income. Excludes revenue from discontinued operations. Revenue may be negative due to large trading account losses.\n\nINSURANCES\nAll revenues from any operating activities. The sum of net premiums earned, realized investment gain (loss), investment income, real estate operations, and other income.\n\nUTILITIES\nIncludes revenues from electric, gas, water and other operating revenue. All revenues from any operating activity (principal activities). Gross revenues less adjustments. Excludes internal or inter-company revenues, except for privately held companies (utility subsidiaries).\n\nREITS\nRevenues from real estate operating activities. Total of rental income, real estate sales (for Real Estate Operating companies), management and advisory fees, mortgage and note income and other operating income. Excludes equity in income from unconsolidated entities. Excludes gain/(loss) on sale of rental properties.
#> 4 INDUSTRIALS & UTILITIES\nCompany's revenues less its cost of goods sold. Calculated as:\n\nRevenues - Cost of Goods Sold\n\nWhere:\n Revenue is IS010, SALE_REV_TURN\n Cost of Good Sold is IS021, IS_COGS_TO_FE_AND_PP_AND_G\n\nNote: Please reference Gross Profit Adjusted (IM130, IS_ADJUSTED_GROSS_PROFIT) for the adjusted value that excludes the impact of abnormal items.
#> 5 Indicator of a company's financial performance which is essentially net income with interest, taxes, depreciation, and amortization added back to it, and can be used to analyze and compare profitability between companies and industries because it eliminates the effects of financing and accounting decisions. Figure is reported in millions; the Scaling Format Override (DY339, SCALING_FORMAT) can be used to change the display units for the field.\n\nINDUSTRIAL & UTILITIES \nCalculated as:\n\nOperating Income + Depreciation & Amortization\n\nWhere:\nOperating Income or Losses is IS033, IS_OPER_INC \nDepreciation & Amortization IS CF011, CF_DEPR_AMORT <P>FINANCIALS\nCalculated as:\n\nOperating Income + Depreciation & Amortization + Interest Expense\n\nWhere: \nOperating Income or Losses is IS033, IS_OPER_INC\nDepreciation & Amortization IS CF011, CF_DEPR_AMORT\nInterest Expense is IS022, IS_INT_EXPENSES\n\nThis ratio may not be meaningful for companies in the financial format where interest is a major component of revenue.\n\nREITS\nCalculated as:\n\nOperating Income + Depreciation & Amortization + Interest Expense\n\nWhere:\nOperating Income or Losses is IS033, IS_OPER_INC\nDepreciation & Amortization IS CF011, CF_DEPR_AMORT\nInterest Expense is IS034, IS_INT_EXPENSE\n\nMUNICIPAL REVENUE \nCalculated as:\n\nNormalized Profit + Depreciation Expenses+ Amortization Expense+ Interest Expense Operating + Interest Expense\n\nWhere: \nNormalized Profit is F0222, TOTAL_NORMALIZED_PROFIT \nDepreciation Expense is IS070, IS_DEPR_EXP or CF011, CF_DEPR_AMORT\nAmortization is IM011, IS_AMORTIZATION_EXPENSE\nInterest Expense Operating is IS674, IS_INTEREST_EXPENSES_OPERATING\nInterest Expense is IS034, IS_INT_EXPENSE\n\nINDEX:\nThis field returns the aggregate of all equity contributions. Each equity contribution is calculated as:\n\n(EBITDA value for each equity * respective number of shares in the index * FX Rate) / (Index Divisor * Coverage Factor)\n\nWhere:\nEBITDA is (RR856,TRAIL_12M_EBITDA_PER_SHARE) for annual periodicity and (RR555, EBITDA_PER_SH) for interim periodicities.\nNumber of shares of a security in the index can be obtained on MEMB\nFX Rate is applied to securities that have a different fundamental currency EQY_FUND_CRNCY from the index's Index Divisor is IN018, INDX_DIVISOR\n\nCoverage factor is defined as: 1 - (unused market cap / index market cap)\nWhere:\nUnused market cap is the sum of securities' market cap that do not have an equity contribution to the index value\nSecurity market cap is last price(PR005,PX_LAST)*number of shares outstanding(IS060,IS_AVG_NUM_SH_FOR_EPS)\nIndex market cap is the sum of securities' market cap.
#> 6 Net Income Available To Common Shareholders. Figure is scaled in millions. The Scaling Format Override (DY339, SCALING_FORMAT) can be used to change the display units for the field. Calculated as:\n\nNet Income - Total Cash Preferred Dividend - Other Adjustments\n\nWhere:\n Net Income is IS050, NET_INCOME\n Total Cash Preferred Dividends is IS051, IS_TOT_CASH_PFD_DVD\n Other Adjustments is IS168, OTHER_ADJUSTMENTS\n\nPlease reference Net Income to Common Adjusted (IS810, IS_NI_AVAILABLE_TO_COMMON_ADJ) for the adjusted value that excludes the impact of abnormal items.
The months
dataset details the symbols used to refer to calendar
months in Bloomberg and financial markets in general. It is particularly
useful when working with financial derivative instruments such as
futures contracts.
months
#> name symbol
#> 1: January F
#> 2: February G
#> 3: March H
#> 4: April J
#> 5: May K
#> 6: June M
#> 7: July N
#> 8: August Q
#> 9: September U
#> 10: October V
#> 11: November X
#> 12: December Z
The rolls
dataset details the symbols used to refer to the various
roll types and adjustments available in Bloomberg when working with
futures term structure contracts. These symbols can be used to construct
bespoke tickers that allow the user to query Bloomberg for futures term
structure data with the desired roll characteristics.
rolls
#> roll symbol name
#> 1: type A With active future
#> 2: type B Bloomberg default
#> 3: type D At first delivery
#> 4: type F Fixed day of month
#> 5: type N Relative to first notice
#> 6: type O At option expiration
#> 7: type R Relative to expiration
#> 8: adjustment D Difference
#> 9: adjustment N None
#> 10: adjustment R Ratio
#> 11: adjustment W Average
The tickers_cftc
dataset gathers Bloomberg position data tickers for a
number of futures series. These tickers allow direct retrieval from
Bloomberg via the pullit package
of corresponding position data as reported by the US Commodity Futures
Trading Commission (CFTC) in a collection of weekly market reports
including the ‘legacy’, ‘disaggregated’, ‘supplemental’ and ‘traders in
financial futures’ (TFF) reports. See ?tickers_cftc
for details.
tail(tickers_cftc)
#> name asset class active contract ticker MIC format
#> 1: LIBOR rate - 1-month fixed income EMA Comdty XCME legacy
#> 2: LIBOR rate - 1-month fixed income EMA Comdty XCME legacy
#> 3: LIBOR rate - 1-month fixed income EMA Comdty XCME legacy
#> 4: LIBOR rate - 1-month fixed income EMA Comdty XCME legacy
#> 5: LIBOR rate - 1-month fixed income EMA Comdty XCME legacy
#> 6: LIBOR rate - 1-month fixed income EMA Comdty XCME legacy
#> underlying unit participant position ticker
#> 1: futures only traders non-commercial long IMM11TNL Index
#> 2: futures only traders non-commercial short IMM11TNS Index
#> 3: futures only traders non-commercial spreading IMM11TNP Index
#> 4: futures only traders total long IMM11TTL Index
#> 5: futures only traders total short IMM11TTS Index
#> 6: futures only traders total total IMM11TTO Index
The tickers_futures
dataset gathers futures active contract Bloomberg
tickers as well as a collection of qualitative information for several
popular futures series including commodity, currency, financial and
index futures with underlyings from various asset classes.
head(tickers_futures)
#> ticker name asset class
#> 1 BSDA Comdty Carbon allowance - California - vintage 2016 climate
#> 2 V6A Comdty Butter commodity
#> 3 CHEA Comdty Cheese commodity
#> 4 DAA Comdty Milk-class III commodity
#> 5 KVA Comdty Milk-Class IV commodity
#> 6 LEA Comdty Milk-non fat dry commodity
#> sector subsector currency MIC term structure length contract size
#> 1 <NA> <NA> USD IFED 50 1000
#> 2 agriculturals dairy USD XCME 24 20000
#> 3 agriculturals dairy USD XCME 25 20000
#> 4 agriculturals dairy USD XCME 24 200000
#> 5 agriculturals dairy USD XCME 23 200000
#> 6 agriculturals dairy USD XCME 24 44000
#> trading unit point value tick size tick value FIGI
#> 1 allowances 1000 0.010 10 BBG00H5NQBM9
#> 2 pounds 200 0.025 5 BBG00DP4KKM4
#> 3 pounds 20000 0.001 20 BBG00DP4KKP1
#> 4 pounds 2000 0.010 20 BBG00DP4KK71
#> 5 pounds 2000 0.010 20 BBG00DP4KKJ8
#> 6 pounds 440 0.025 11 BBG00DP4KKB6
#> description
#> 1 ICE US: California Carbon Allowance Vintage 2016 Future\nDescription: Physically delivered greenhouse gas emissions allowances where each is an allowance issued by the California Air Resources Board or a linked program (California Carbon Allowance) representing one metric ton of CO2 equivalent under California Assembly Bill 32 "California Global Warming Solutions Act of 2006" and its associated regulations, rules and amendments, all together known as the "California Cap and Trade Program". \n Launch Date: October 15, 2012 \n Exchange Symbol: CAO
#> 2 Valued at 20,000 times the USDA monthly weighted average price per pound in the U.S. for Grade AA butter.
#> 3 CME Cash Settled Cheese Futures\nQuote Unit: US Dollars per pound. Although CME contract specifications states 'Pricing Unit U.S. cents per pound ', BBG has confirmed with CME group the quotes displayed/provided to Bloomberg are U.S. Dollars per pound.\n\nLaunch Date: June 20, 2010\nExchange code:CSC\n\nFinal Settlement Procedure: Cash settled based upon the USDA monthly weighted average price in the U.S. for cheese. The reported USDA monthly weighted average price for cheese uses both 40 pound cheddar block and 500 pound barrel prices.\n\nContract Specifications: http://www.cmegroup.com/trading/agricultural/dairy/cheese_contract_specifications.html\nSource of info: cmegroup.com
#> 4 Description: Class III Milk Futures - Commodity Specifications: 2,000 times the USDA Class III Price for fluid milk. Class III Milk Futures represent milk used in the manufacturing of Cheddar Cheese. \n**Effective July 6, 2015 and pending all relevant CFTC regulatory review periods, CME will close Open-Outcry (PIT) for all Futures except for S&P 500 Futures {SPA Index DES<GO>}. On the Bloomberg, PIT ticker tail will remain for historical Open-Outcry reference and will thereafter represent CME Clearport Pricing Data.**\nSource of Info: cmegroup.com \n **DEAA is no longer supported, you will be able to see the same data in DAA ELEC <COMDTY>.**\nExchange ticker: DA\nSource of info: cmegroup.com\n\nFor CME & CBOT Block Thresholds and Reporting Times, please refer to:\nhttp://www.cmegroup.com/market-regulation/rule-filings/2017/12/17-420_APPC.pdf
#> 5 Class IV Milk is used to manufacture butter and non-fat dry milk.\n **Effective July 6, 2015 and pending all relevant CFTC regulatory review periods, CME will close Open-Outcry (PIT) for all Futures except for S&P 500 Futures {SPA Index DES<GO>}. On the Bloomberg, PIT ticker tail will remain for historical Open-Outcry reference and will thereafter represent CME Clearport Pricing Data.**\nExchange Ticker: DK\n Contracts Listed: All Calender Months\n Settlement Procedure: Cash Settlement.\n CME Group
#> 6 Description: Nonfat Dry Milk - Contract consists of product that is no more than 180 days old in a range of 42,000 to 45,000 pounds in 25-kilogram bags.\n**Effective July 6, 2015 and pending all relevant CFTC regulatory review periods, CME will close Open-Outcry (PIT) for all Futures except for S&P 500 Futures {SPA Index DES<GO>}. On the Bloomberg, PIT ticker tail will remain for historical Open-Outcry reference and will thereafter represent CME Clearport Pricing Data.**\nExchange ticker: NF\nSource of info: cmegroup.com
Although BBGsymbols is self-contained it belongs to the finRes suite of packages where it plays an important role in providing support to the pullit and storethat packages for collecting financial data from Bloomberg and storing it locally as well as updating it and eventually retrieving it where/when a Bloomberg connection is not available.
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