Does anyone know more information or have experience with the bloomberg data source? How expensive is this sort of thing?

Luckily this project also has the option to pull in data from free sources like FRED[0] and Yahoo! Finance[1] making it quite useable without a Bloomberg subscription

[0]: https://research.stlouisfed.org/fred2/ [1]: https://finance.yahoo.com

Very. The standard terminal product they offer is around 2K per month. You can buy just the data (as many third parties do) but that'll also cost a pretty penny. It's a great data source, but definitely not cheap.

You can also use Quandl data too (most series are free). I subscribe to Bloomberg and it's great data source, but obviously it's not that cheap. (I'm the developer of PyThalesians - if you'd like me to add other data sources let me know!)

Xbrl integration for SEC filings

Thanks for the tip on Quandl, and for the great library!

It's not even a complete data source, which for the price is an embarrassment. I tested it with a nearby college that had a full terminal, and they are missing data from expired options. For $2k/month I'd expect it to at least be complete!

Historical option data is "premium" data unfortunately.