precision of data download in rbbg/rbloomberg
So, as JL was saying, in this case, implementation speed isn't the issue. Before someone makes a fuss about re-inventing the wheel... The thinking behind the c++ version is that as much as I love Java (ha ha), we need to use this in ruby, so the c++ bit will eventually be generalized into something independent from this R package. One of the bigger issues to deal with is a c++ implementation of DataFrames. It's a bit of a pain in the ass. Anyway, the link is here if anyone wants to experiment. I've set this up to compile on linux, but I haven't done anything about Windows, so you're on your own if you want that to work. https://github.com/armstrtw/Rblpapi -Whit
On Fri, Apr 19, 2013 at 9:05 AM, John Laing <john.laing at gmail.com> wrote:
Jeff is right, Rbbg's result processing is not, shall we say, optimized. Whit Armstrong has been working on a more lightweight C++-based interface to Bloomberg that is also more graceful with its data type handling. I don't think he's released it publicly yet. But in this case his version is roughly the same speed as Rbbg. I think the slowness is on Bloomberg's side. -John On Fri, Apr 19, 2013 at 8:52 AM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
Aidan, There is an awful lot of additional processing happening inside of bdh in terms of data extraction/manipulation. In the past I've extracted out the important .java type calls and return types to get substantial speed-ups, especially when dealing with a common/more constrained search (e.g. one name at a time) Of course, YMMV Best, Jeff On Fri, Apr 19, 2013 at 7:34 AM, Aidan Corcoran <aidan.corcoran11 at gmail.com>wrote:
hi John, thanks for your reply. my results were: user system elapsed 1.00 0.06 6.43 This is using win7 64bit, 12gb of RAM. I get roughly 6mbps download speed from the internet where I am in case that has any bearing. The speed is probably not bad, I just wanted to make sure I wasn't
missing
an easy option to get a bit more speed. Thanks for your help! On Fri, Apr 19, 2013 at 12:04 PM, John Laing <john.laing at gmail.com>
wrote:
Aidan, I don't think the Bloomberg API offers such an option. However, I also don't think that precision is a big cause of slowness. Can you send a sample query to demonstrate your issue? E.g.:
system.time(ty1 <- bdh(conn, "TY1 Comdty", "PX_LAST",
start_date=as.Date("1900-01-01"), end_date=Sys.Date()))
user system elapsed
0.428 0.024 2.772
dim(ty1)
[1] 7795 2 -John On Fri, Apr 19, 2013 at 3:52 AM, Aidan Corcoran < aidan.corcoran11 at gmail.com> wrote:
hi folks, I was wondering if it is possible to limit the precision of the data
being
downloaded via the bdh function in rbbg, in the interest of speed. I haven't seen any mention of such an option but thought I would ask
just
in
case I missed something.
thanks in advance
Aidan
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--
Jeffrey Ryan
jeffrey.ryan at lemnica.com
www.lemnica.com
R/Finance 2013: Applied R in Finance
May 17, 18 Chicago, IL
www.RinFinance.com
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