Bloomberg Market Data

{
  "$schema": "https://json-schema.org/draft/2020-12/schema",
  "$id": "https://bloomberg.com/schemas/bloomberg-news/market-data.json",
  "title": "Bloomberg Market Data",
  "description": "Schema for Bloomberg market data representing real-time and reference data for financial securities as delivered through the BLPAPI //blp/mktdata (subscription) and //blp/refdata (request/response) services. Covers equities, fixed income, commodities, currencies, and indices.",
  "type": "object",
  "required": [
    "security",
    "timestamp"
  ],
  "properties": {
    "security": {
      "$ref": "#/$defs/SecurityIdentifier"
    },
    "timestamp": {
      "type": "string",
      "format": "date-time",
      "description": "ISO 8601 timestamp of the market data snapshot"
    },
    "pricing": {
      "$ref": "#/$defs/PricingData"
    },
    "volume": {
      "$ref": "#/$defs/VolumeData"
    },
    "referenceData": {
      "$ref": "#/$defs/ReferenceData"
    },
    "historicalData": {
      "type": "array",
      "description": "Array of historical data points from the //blp/refdata HistoricalDataRequest service",
      "items": {
        "$ref": "#/$defs/HistoricalDataPoint"
      }
    },
    "intradayBar": {
      "type": "array",
      "description": "Intraday bar data from the BLPAPI IntradayBarRequest service with OHLCV aggregation per interval",
      "items": {
        "$ref": "#/$defs/IntradayBar"
      }
    },
    "fieldExceptions": {
      "type": "array",
      "description": "Field-level errors for unavailable or invalid requested fields as returned by the BLPAPI response",
      "items": {
        "$ref": "#/$defs/FieldException"
      }
    },
    "securityError": {
      "$ref": "#/$defs/SecurityError"
    }
  },
  "$defs": {
    "SecurityIdentifier": {
      "type": "object",
      "description": "Bloomberg security identification using the TICKER MARKET_SECTOR format and supplementary identifiers",
      "required": ["ticker"],
      "properties": {
        "ticker": {
          "type": "string",
          "description": "Bloomberg ticker in TICKER MARKET_SECTOR format as used in BLPAPI security subscriptions",
          "examples": ["AAPL US Equity", "USDJPY Curncy", "CL1 Comdty", "SPX Index", "T 4.5 05/15/38 Govt"]
        },
        "figi": {
          "type": ["string", "null"],
          "description": "Financial Instrument Global Identifier (FIGI) assigned by Bloomberg"
        },
        "isin": {
          "type": ["string", "null"],
          "description": "International Securities Identification Number",
          "pattern": "^[A-Z]{2}[A-Z0-9]{9}[0-9]$"
        },
        "cusip": {
          "type": ["string", "null"],
          "description": "Committee on Uniform Securities Identification Procedures number",
          "pattern": "^[A-Z0-9]{9}$"
        },
        "sedol": {
          "type": ["string", "null"],
          "description": "Stock Exchange Daily Official List identifier",
          "pattern": "^[A-Z0-9]{7}$"
        },
        "bloombergId": {
          "type": ["string", "null"],
          "description": "Bloomberg unique security identifier (ID_BB_UNIQUE)"
        },
        "name": {
          "type": "string",
          "description": "Security display name from the NAME reference data field"
        },
        "assetClass": {
          "type": "string",
          "description": "Bloomberg asset class or market sector",
          "enum": [
            "Equity",
            "Fixed Income",
            "Commodity",
            "Currency",
            "Index",
            "Fund",
            "Mortgage",
            "Municipal",
            "Preferred",
            "Money Market",
            "Government"
          ]
        },
        "exchange": {
          "type": ["string", "null"],
          "description": "Primary exchange where the security trades (EXCH_CODE field)"
        },
        "country": {
          "type": ["string", "null"],
          "description": "Country of domicile ISO 3166-1 alpha-2 code (COUNTRY_ISO field)"
        },
        "currency": {
          "type": ["string", "null"],
          "description": "Trading currency ISO 4217 code (CRNCY field)",
          "pattern": "^[A-Z]{3}$"
        }
      }
    },
    "PricingData": {
      "type": "object",
      "description": "Real-time and delayed pricing fields from the BLPAPI //blp/mktdata subscription service",
      "properties": {
        "lastPrice": {
          "type": ["number", "null"],
          "description": "Last traded price (PX_LAST / LAST_PRICE field)"
        },
        "bid": {
          "type": ["number", "null"],
          "description": "Current best bid price (BID field)"
        },
        "ask": {
          "type": ["number", "null"],
          "description": "Current best ask price (ASK field)"
        },
        "mid": {
          "type": ["number", "null"],
          "description": "Mid price calculated as (BID + ASK) / 2 (MID field)"
        },
        "open": {
          "type": ["number", "null"],
          "description": "Opening price for the current trading session (PX_OPEN / OPEN field)"
        },
        "high": {
          "type": ["number", "null"],
          "description": "Highest price for the current trading session (PX_HIGH / HIGH field)"
        },
        "low": {
          "type": ["number", "null"],
          "description": "Lowest price for the current trading session (PX_LOW / LOW field)"
        },
        "close": {
          "type": ["number", "null"],
          "description": "Previous close price (PX_LAST for prior session / PREV_CLOSE_VALUE_DT)"
        },
        "previousClose": {
          "type": ["number", "null"],
          "description": "Previous trading session close price (PREV_CLOSE_VALUE_DT field)"
        },
        "vwap": {
          "type": ["number", "null"],
          "description": "Volume-weighted average price (EQY_WEIGHTED_AVG_PX field)"
        },
        "change": {
          "type": ["number", "null"],
          "description": "Net change from previous close (CHG_NET_1D field)"
        },
        "changePercent": {
          "type": ["number", "null"],
          "description": "Percentage change from previous close (CHG_PCT_1D field)"
        },
        "bidSize": {
          "type": ["integer", "null"],
          "description": "Number of shares/contracts at the best bid (BID_SIZE field)",
          "minimum": 0
        },
        "askSize": {
          "type": ["integer", "null"],
          "description": "Number of shares/contracts at the best ask (ASK_SIZE field)",
          "minimum": 0
        },
        "lastTradeTime": {
          "type": ["string", "null"],
          "format": "date-time",
          "description": "Timestamp of the last trade (TRADE_UPDATE_STAMP_RT field)"
        }
      }
    },
    "VolumeData": {
      "type": "object",
      "description": "Volume and turnover fields from the BLPAPI market data service",
      "properties": {
        "volume": {
          "type": ["integer", "null"],
          "description": "Total shares/contracts traded in the current session (VOLUME / PX_VOLUME field)",
          "minimum": 0
        },
        "averageVolume30D": {
          "type": ["number", "null"],
          "description": "30-day average daily trading volume (VOLUME_AVG_30D field)",
          "minimum": 0
        },
        "turnover": {
          "type": ["number", "null"],
          "description": "Total monetary value of shares traded (TURNOVER field)",
          "minimum": 0
        },
        "numTrades": {
          "type": ["integer", "null"],
          "description": "Number of trades in the current session (NUM_TRADES field)",
          "minimum": 0
        }
      }
    },
    "ReferenceData": {
      "type": "object",
      "description": "Static and calculated reference data fields from the BLPAPI //blp/refdata ReferenceDataRequest service",
      "properties": {
        "name": {
          "type": "string",
          "description": "Full security name (NAME field)"
        },
        "shortName": {
          "type": ["string", "null"],
          "description": "Abbreviated security name (SHORT_NAME field)"
        },
        "marketCap": {
          "type": ["number", "null"],
          "description": "Market capitalization in local currency (CUR_MKT_CAP field)",
          "minimum": 0
        },
        "sharesOutstanding": {
          "type": ["number", "null"],
          "description": "Total shares outstanding (EQY_SH_OUT field)",
          "minimum": 0
        },
        "peRatio": {
          "type": ["number", "null"],
          "description": "Price-to-earnings ratio (PE_RATIO field)"
        },
        "dividendYield": {
          "type": ["number", "null"],
          "description": "Indicated dividend yield percentage (EQY_DVD_YLD_IND field)"
        },
        "earningsPerShare": {
          "type": ["number", "null"],
          "description": "Earnings per share (IS_EPS field)"
        },
        "bookValuePerShare": {
          "type": ["number", "null"],
          "description": "Book value per share (BOOK_VAL_PER_SH field)"
        },
        "priceToBookRatio": {
          "type": ["number", "null"],
          "description": "Price-to-book ratio (PX_TO_BOOK_RATIO field)"
        },
        "sector": {
          "type": ["string", "null"],
          "description": "Bloomberg Industry Classification System (BICS) sector (INDUSTRY_SECTOR field)"
        },
        "industryGroup": {
          "type": ["string", "null"],
          "description": "BICS industry group (INDUSTRY_GROUP field)"
        },
        "industrySubGroup": {
          "type": ["string", "null"],
          "description": "BICS industry sub-group (INDUSTRY_SUBGROUP field)"
        },
        "beta": {
          "type": ["number", "null"],
          "description": "Adjusted beta relative to the local market index (BETA_ADJ_OVERRIDABLE field)"
        },
        "week52High": {
          "type": ["number", "null"],
          "description": "52-week high price (HIGH_52WEEK field)"
        },
        "week52Low": {
          "type": ["number", "null"],
          "description": "52-week low price (LOW_52WEEK field)"
        },
        "movingAverage200D": {
          "type": ["number", "null"],
          "description": "200-day simple moving average (MOV_AVG_200D field)"
        },
        "movingAverage50D": {
          "type": ["number", "null"],
          "description": "50-day simple moving average (MOV_AVG_50D field)"
        },
        "dayCountConvention": {
          "type": ["string", "null"],
          "description": "Day count convention for fixed income securities (DAY_CNT_DES field)"
        },
        "couponRate": {
          "type": ["number", "null"],
          "description": "Coupon rate for fixed income securities (CPN field)"
        },
        "maturityDate": {
          "type": ["string", "null"],
          "format": "date",
          "description": "Maturity date for fixed income securities (MATURITY field)"
        },
        "yieldToMaturity": {
          "type": ["number", "null"],
          "description": "Yield to maturity for fixed income securities (YLD_YTM_MID field)"
        },
        "creditRating": {
          "type": ["string", "null"],
          "description": "Composite credit rating (RTG_COMPOSITE field)"
        }
      }
    },
    "HistoricalDataPoint": {
      "type": "object",
      "description": "A single historical data point from the BLPAPI HistoricalDataRequest service",
      "required": ["date"],
      "properties": {
        "date": {
          "type": "string",
          "format": "date",
          "description": "Date of the historical data point"
        },
        "open": {
          "type": ["number", "null"],
          "description": "Opening price (PX_OPEN field)"
        },
        "high": {
          "type": ["number", "null"],
          "description": "Highest price (PX_HIGH field)"
        },
        "low": {
          "type": ["number", "null"],
          "description": "Lowest price (PX_LOW field)"
        },
        "close": {
          "type": ["number", "null"],
          "description": "Closing price (PX_LAST field)"
        },
        "volume": {
          "type": ["integer", "null"],
          "description": "Total volume (PX_VOLUME field)",
          "minimum": 0
        },
        "value": {
          "type": ["number", "null"],
          "description": "Generic field value when requesting a single non-OHLCV field"
        }
      }
    },
    "IntradayBar": {
      "type": "object",
      "description": "Aggregated intraday OHLCV bar from the BLPAPI IntradayBarRequest service",
      "required": ["time"],
      "properties": {
        "time": {
          "type": "string",
          "format": "date-time",
          "description": "Start time of the intraday bar interval"
        },
        "open": {
          "type": "number",
          "description": "Opening price of the interval"
        },
        "high": {
          "type": "number",
          "description": "Highest price during the interval"
        },
        "low": {
          "type": "number",
          "description": "Lowest price during the interval"
        },
        "close": {
          "type": "number",
          "description": "Closing price of the interval"
        },
        "volume": {
          "type": "integer",
          "description": "Total volume during the interval",
          "minimum": 0
        },
        "numEvents": {
          "type": "integer",
          "description": "Number of trade events during the interval",
          "minimum": 0
        }
      }
    },
    "FieldException": {
      "type": "object",
      "description": "Error information for a field that could not be returned, as provided in BLPAPI fieldExceptions",
      "properties": {
        "fieldId": {
          "type": "string",
          "description": "The requested field identifier that caused the exception"
        },
        "errorInfo": {
          "type": "object",
          "description": "Nested error details",
          "properties": {
            "source": {
              "type": "string",
              "description": "Source of the error"
            },
            "code": {
              "type": "integer",
              "description": "Numeric error code"
            },
            "category": {
              "type": "string",
              "description": "Error category classification"
            },
            "message": {
              "type": "string",
              "description": "Human-readable error message"
            },
            "subCategory": {
              "type": ["string", "null"],
              "description": "Error sub-category for more specific classification"
            }
          }
        }
      }
    },
    "SecurityError": {
      "type": "object",
      "description": "Error returned when the requested security identifier is invalid or not found in the BLPAPI service",
      "properties": {
        "source": {
          "type": "string",
          "description": "Source of the error"
        },
        "code": {
          "type": "integer",
          "description": "Numeric error code"
        },
        "category": {
          "type": "string",
          "description": "Error category classification"
        },
        "message": {
          "type": "string",
          "description": "Human-readable error message describing the security error"
        },
        "subCategory": {
          "type": ["string", "null"],
          "description": "Error sub-category for more specific classification"
        }
      }
    }
  }
}