Question regarding Tick Data
Look I understand the convenience of a bbg terminal (I have one myself), but I just can't imagine that a big place like baml doesn't have tick data on TY futures stored in an internal DB somewhere. There is also BBG Datalicense, which delivers the bbg data directly to your database (well almost directly). We are a customer. It works as advertised, and it's not all that expensive. -Whit On Tue, Jul 27, 2010 at 5:08 PM, Ulrich Staudinger
<ustaudinger at gmail.com> wrote:
Well, when you have a BB terminal, it's definitely better to reuse this than spending money on getting the data directly from the exchange or any other third party provider. Also mind that there, afaik, no R packages readily available to fetch data from any of the exchanges ..... Am 27.07.2010 23:04, schrieb Whit Armstrong:
I'm sure you have to make due with what ?you can, but tick data from BBG? ?Doesn't ML have a better source (direct from the exchange perhaps)? -Whit On Tue, Jul 27, 2010 at 3:42 PM, Gandhi, Puneet - RSCH AMRS <p.gandhi at baml.com> ?wrote:
I tried multiple things. This command worked very well a = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000", "2010-07-20 22:00:00.000" ) But this doesn't include all the data The excel equivalent which gives all the data I need is =BDH($A$1,"TRADE","7/27/2010 9:00:00 AM","","Dir=V","Dts=S","Sort=A","IntrRw=True","CondCodes=H","QRM=S","Exc hCode=H","BrkrCodes=H","RPSCodes=H","cols=4;rows=20477") I did some testing and "QRM=S" helps me get this extra data.If I remove QRM="S" then that data vanishes Now, I tried b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000", "2010-07-20 22:00:00.000",option_names = "includeQRMCodes", option_values = "TRUE") b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000", "2010-07-20 22:00:00.000",option_names = "includeQRM", option_values = "TRUE") b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000", "2010-07-20 22:00:00.000",option_names = "QRM", option_values = "S") b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000", "2010-07-20 22:00:00.000",QRM="S" ) None of these work. Thanks -----Original Message----- From: Brian G. Peterson [mailto:brian at braverock.com] Sent: Tuesday, July 27, 2010 11:06 AM To: Gandhi, Puneet - RSCH AMRS Subject: Re: [R-SIG-Finance] Question regarding Tick Data On Tue, 2010-07-27 at 10:50 -0400, Gandhi, Puneet - RSCH AMRS wrote:
Hi I was successfully able to download tick data from Bloomberg using the tick command as described in the rbloomberg help manual. But to get
all
the data I need to pass an option QRM ="S". I saw this option in Excel but when I am unable to use it in Rbloomberg. This options adds some extra Trade data in the regular Tick data. This extra data is missing by default.
Please reply to your *list* posting with a reproducible code example. What commands did you try? You said one command worked... what was it? You said one failed.... what was that? What happened when you tried it? -- Brian G. Peterson http://www.braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock ---------------------------------------------------------------------- This message w/attachments (message) is intended solely ...{{dropped:7}}
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