RE: [R] Bloomberg data import

From: Chalasani, Prasad <>
Date: Fri 25 Mar 2005 - 06:40:37 EST

Yes I am aware of your presentation.
Seems to me your approach is different from the one of Enrique Bengoechea: you use the C API, whereas he uses the bloomberg ActiveX/COM API ( which requires the RDCOMClient package
from OmegaHat -- it doesn't work with R2001, so I actually downloaded Thomas Baier's build of that package ).

I found that with Enrique's approach it's extremely easy to bang together R code to grab historical *daily* data from Bloomberg. However when I tried to extend it to to grab Tick/Intraday data, it didn't work. I did look at the Bloomberg ActiveX documentation on my Bloomberg screen, and thought I followed their instructions, e.g I do ( with slight modification of Enrique's framework ):

dat <- '2005-03-22'
from.t <- '10:00:00'
to.t <- '11:00:00'
# convert date + time to COM format.
comFrom <- as.comDate.Date(as.Date(dat), from.t) comTo <- as.comDate.Date(as.Date(dat), to.t) histData <- try(blCon$BLPGetHistoricalData(Security='IBM US Equity', Fields="Last_Price",

                        StartDate=comFrom, EndDate=comTo, BarSize=0));

The documentation says that I can get tick data by simply setting BarSize to 0,
and using the appropriate field name -- I tried Last_Price, LAST_TRADE, etc but to no avail -- I keep getting some kind of exception.

If someone has any hints as to how to get Tick/Intraday data, that would be nice.

-----Original Message-----
[] On Behalf Of Dirk Eddelbuettel Sent: Thursday, March 24, 2005 2:24 PM
Subject: Re: [R] Bloomberg data import


Chalasani, Prasad <prasad.chalasani <at>> writes:
> I know that Enrique Bengoechea ( Credit Suisse ) had posted some code
> snippets for importing Bloomberg historical data into R. I found them
> to be very useful.
> Has anyone succeeded in getting the below items
> from Bloomberg to R?
> (a) historical economic release data,
> (b) tick/intra-day data
> (c) bulk data such as Index membership info, etc.

Yes, I have a package that can do all of the above. See the presentation at

> If someone is willing to share their code
> to get Bloomberg data into R, that would be
> extremely appreciated.

Unfortunately the code belongs to my (former) employer and cannot be shared.

That said, with a modicum of effort and knowledge of C programming, you can replicate the package based on a) the excellent Bloomberg C Api documentation and examples, and b) the 'Writing R Extensions' manual, as well as your choice among the 500+ packages on CRAN for concrete C linkage examples. May be worthwhile discussing with your IT group.

Regards, Dirk mailing list PLEASE do read the posting guide! mailing list PLEASE do read the posting guide! Received on Fri Mar 25 06:43:29 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:30:56 EST