Thanks for the input Cedrick. I don't think it's a problem with Bloomberg's
data limit, though; the files I've been getting have only been around
100-200 KB.
I've played with it a bit more, and here's what I've found. I don't have a
solution yet, but hopefully this will add some clarity for anyone interested
in understanding my situation.
To get a full day of data I wrote a loop that called for tick data in 5
minute intervals throughout all of the hours of the trading day, and
aggregated all of the downloads into one table. It's not a pretty solution,
but it works... sort of.
My new problem is, even within small intervals, I've found that it's only
downloading ticks for about half of the interval (roughly the first 2 1/2
minutes of each 5 minute interval). In fact my aggregated table is about
the same size of file as my attempt to download the full day in one shot,
making me think that I'm losing the same proportion of my data set each
time, regardless of the size of the time interval. But that's just a
hypothesis; I still don't know what is really going on.
I'm wondering whether the problem is with R or if it's with Bloomberg.
Maybe I'm trying to download at a busy time of day. I'll set up my program
to run late tonight and see if it works any better.
In the mean time, if anyone does have any suggestions, I would greatly
appreciate them.
Thanks,
CC