Bloomberg data import
Dirk, the URL for the working binary of RDCOMClient is at the bottom this page: http://tolstoy.newcastle.edu.au/R/help/04/11/6759.html it works with my R 2001. -----Original Message----- From: r-help-bounces at stat.math.ethz.ch [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Dirk Eddelbuettel Sent: Thursday, March 24, 2005 3:00 PM To: r-help at stat.math.ethz.ch Subject: Re: [R] Bloomberg data import Prasad, Chalasani, Prasad <prasad.chalasani <at> gs.com> 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 ______________________________________________ R-help at 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