Question regarding Tick Data
Thanks for your help, I solved the problem. It was related to date. As for Whit's question, the desk might not want to pay for a big data when it requires only few fields, which in my case is true. Thanks -----Original Message----- From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Whit Armstrong Sent: Tuesday, July 27, 2010 5:21 PM To: Ulrich Staudinger Cc: r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] 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}}
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ---------------------------------------------------------------------- This message w/attachments (message) is intended solely for the use of the intended recipient(s) and may contain information that is privileged, confidential or proprietary. If you are not an intended recipient, please notify the sender, and then please delete and destroy all copies and attachments, and be advised that any review or dissemination of, or the taking of any action in reliance on, the information contained in or attached to this message is prohibited. Unless specifically indicated, this message is not an offer to sell or a solicitation of any investment products or other financial product or service, an official confirmation of any transaction, or an official statement of Sender. Subject to applicable law, Sender may intercept, monitor, review and retain e-communications (EC) traveling through its networks/systems and may produce any such EC to regulators, law enforcement, in litigation and as required by law. The laws of the country of each sender/recipient may impact the handling of EC, and EC may be archived, supervised and produced in countries other than the country in which you are located. This message cannot be guaranteed to be secure or free of errors or viruses. References to "Sender" are references to any subsidiary of Bank of America Corporation. Securities and Insurance Products: * Are Not FDIC Insured * Are Not Bank Guaranteed * May Lose Value * Are Not a Bank Deposit * Are Not a Condition to Any Banking Service or Activity * Are Not Insured by Any Federal Government Agency. Attachments that are part of this EC may have additional important disclosures and disclaimers, which you should read. This message is subject to terms available at the following link: http://www.bankofamerica.com/emaildisclaimer. By messaging with Sender you consent to the foregoing.