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.