RE: [R] Bloomberg data import

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


Dirk,
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-----
From: r-help-bounces@stat.math.ethz.ch
[mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Dirk Eddelbuettel Sent: Thursday, March 24, 2005 2:24 PM
To: r-help@stat.math.ethz.ch
Subject: Re: [R] Bloomberg data import

Prasad,

Chalasani, Prasad <prasad.chalasani <at> gs.com> 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

    http://dirk.eddelbuettel.com/papers/r_lim_bloomberg.pdf

> 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



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide!
http://www.R-project.org/posting-guide.html

R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html 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