Hi Dirk and all,
It's said that for getBars:
eventType = c("TRADE", "BID", "ASK")
What is the 'eventType' exactly?
The results for different types look confusing:
eventType = "TRADE"
head(x) times open high low close numEvents volume
value
1 2023-03-08 01:00:00 81.91 82.27 81.87 82.19 77 79 6480.73
2 2023-03-08 01:15:00 82.20 82.20 82.10 82.10 2 2 164.30
3 2023-03-08 01:30:00 82.11 82.19 82.03 82.03 62 63 5173.13
4 2023-03-08 01:45:00 82.13 82.19 82.06 82.14 23 23 1888.74
5 2023-03-08 02:00:00 82.06 82.21 82.05 82.20 27 31 2546.49
6 2023-03-08 02:15:00 82.22 82.22 82.22 82.22 1 1 82.22
eventType = "BID"
head(x) times open high low close numEvents volume
value
1 2023-03-08 00:50:01 81.73 82.07 81.67 82.06 1413 8667 710390.1
2 2023-03-08 01:05:01 82.06 82.25 82.05 82.19 2663 19367 1590846.2
3 2023-03-08 01:20:01 82.19 82.20 82.03 82.17 1867 14048 1153414.9
4 2023-03-08 01:35:01 82.17 82.18 82.00 82.06 1483 11796 968171.6
5 2023-03-08 01:50:01 82.05 82.16 82.03 82.13 1677 15189 1247051.2
6 2023-03-08 02:05:01 82.13 82.21 82.10 82.14 1176 12131 996505.2
eventType = "ASK"
head(x) times open high low close numEvents volume
value
1 2023-03-08 00:50:01 81.81 82.10 81.75 82.09 1440 9533 781562.4
2 2023-03-08 01:05:01 82.09 82.29 82.07 82.23 3739 37173 3055594.0
3 2023-03-08 01:20:01 82.23 82.23 82.06 82.20 2268 17855 1466788.4
4 2023-03-08 01:35:01 82.20 82.20 82.01 82.08 1856 15223 1249880.9
5 2023-03-08 01:50:01 82.08 82.20 82.06 82.17 1495 12756 1047894.9
6 2023-03-08 02:05:01 82.17 82.23 82.13 82.17 1487 16442 1351371.2
Code was:
x <- getBars(security = "COQ3 Comdty",
eventType = c("TRADE", "BID", "ASK")[1],
barInterval = 15,
startTime = as.POSIXct("2023-03-03"),
endTime = as.POSIXct("2023-07-16"),
options = NULL,
verbose = FALSE,
returnAs = getOption("blpType", "matrix"),
tz = Sys.getenv("TZ", unset = "UTC"),
con = bb.con)
Thanks.
--
Kind regards,
Oleg
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