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:
usdjpy=blpGetData(conn,securities='USDJPY Curncy',fields=c('BID','ASK'), start= as.chron(Sys.time()-6000), end=as.chron(Sys.time()),barsize=2, barfields='OPEN')
usdjpy
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