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vbabloomberg

VBA / Bloomberg / .NonTradingDayValue

I'm working currently on a spreedsheet which downloads Bloomberg data via VBA to conect to Bloomberg and to get the data I use the following code:

Set myBlpObject = New BlpData
        myBlpObject.SubscriptionMode = ByRequest
        With myBlpObject
            .ReverseChronological = True      
            .Periodicity = bbActualDaily              
            .DisplayNonTradingDays = AllCalendar  
            .NonTradingDayValue = "B"             
            .ShowHistoricalDates = True     


End With   

'Security = Array("DAX Index", "SX5E Index", "SXXE Index", "nky index", "spx index")
Security = slice
vtfields = Array("PX_LAST")
vtstart = "03.01.2017"
vtende = "06.08.2017"

This works quite well but I get for each non trading day the last available value carried Forward...

My question is how can I get for the non trading days a value of 0 instead ? What is the correct fill for this part .NonTradingDayValue = "B" ?

I really appreciate any help you can provide.

Solution

  • Simply, you can't.

    From Bloomberg API reference, the nonTradingDayFillMethod has just two element values: PREVIOUS_VALUE or NIL_VALUE.

    If you try to do the same in VBA, the only choices available are as per the attached image.

    excel vba