Skip to content
Prev 1468 / 15274 Next

Intraday data with RBloomberg

Hi, I'm currently trying to implement an intraday currency model using
a live feed from bloomberg.
I hit the following error when I attempt to download intraday 2 min ticks:
BID.OPEN ASK.OPEN
(07/03/07 15:01:45)       NA       NA

blpGetData works fine for historical price data and seems to work fine
for commodity futures ( e.g. the example above works fine for ED1
Comdty), so I'm puzzled why this function does not return a result for
Curncy. I double-checked the "USDJPY Curncy" intraday bloomberg API
feed in excel and it works.

Also, is it a good idea in general to avoid implementing such models
in R?  Would C/C++ be a better alternative?
Any ideas / insights would be greatly appreciated! Thanks.


Best Regards
Ian Seow