Re: [R] Bloomberg data import

From: Dirk Eddelbuettel <>
Date: Fri 25 Mar 2005 - 07:00:01 EST


Chalasani, Prasad <prasad.chalasani <at>> writes:
> 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.

I don't use ActiveX, so take this with a grain of salt.

Based on the names of functions in the older C interface, I would conjecture that the BLPGetHistoricalData() function does not return intra-daily data. So you may need to find different functions for the intraday data and for the static data you were seeking as well. May be worth a try -- report back here or on R-SIG-Finance if you succeed. In any event, whatever you want to put together for R via (D)COM has to first work in plain VB, no?

Do you have a current URL for the (D)COM code? I haven't found it ever since they had to take their server down after it got attacked.

Cheers, Dirk mailing list PLEASE do read the posting guide! Received on Fri Mar 25 07:07:04 2005

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