Question regarding Tick Data
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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