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 at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Dirk Eddelbuettel
Sent: Thursday, March 24, 2005 2:24 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 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.
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
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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