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Intraday data with RBloomberg

6 messages · davidr at rhotrading.com, Ian Seow, Dirk Eddelbuettel

Original
Ian Seow
# 
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
davidr at rhotrading.com
# 
Almost there! You just have to set the barfields; see the example at the
end of ?blpGetData.
HTH,

David L. Reiner
Rho Trading Securities, LLC
550 W. Jackson Blvd #1000
Chicago, IL 60661-5704
 
312-244-4610 direct
312-244-4500 main
312-244-4501 fax
 

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Ian Seow
Sent: Tuesday, July 03, 2007 2:25 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] 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:
Curncy',fields=c('BID','ASK'), start= as.chron(Sys.time()-6000),
end=as.chron(Sys.time()),barsize=2, barfields='OPEN')
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

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Ian Seow
# 
Hi David, that doesn't seem to work either.

In the example below, I cut and paste the example from ?blpGetData,
replacing only the security field with 'USDJPY Curncy'. Notice that
the example works great when we use 'ED1 Comdty'. Also, when I try the
historical data example, it works great for USDJPY Curncy daily
prices. I'm totally stumped.
BID.OPEN ASK.OPEN
(07/04/07 07:46:10)       NA       NA
BID.OPEN ASK.OPEN
(07/03/07 22:38:00)   94.660   94.665
(07/03/07 22:40:00)   94.660   94.665
(07/03/07 22:42:00)   94.660   94.665
(07/03/07 22:44:00)   94.660   94.665
(07/03/07 22:46:00)   94.660   94.665
(07/03/07 22:48:00)   94.660   94.665
(07/03/07 22:50:00)   94.660   94.665
(07/03/07 22:52:00)   94.660   94.665
(07/03/07 22:54:00)   94.660   94.665
(07/03/07 22:56:00)   94.660   94.665
(07/03/07 22:58:00)   94.660   94.665
etc....
On 7/3/07, davidr at rhotrading.com <davidr at rhotrading.com> wrote:
1 day later
davidr at rhotrading.com
# 
I can verify similar behavior.
I can get the data via VBA behind Excel.
Between versions of Bloomberg and R and the difficulty I seem to have
getting RDCOMClient installed correctly, I have sort of given up on this
approach, unfortunately so, since it seems so useful. I pretty much use
VBA/Excel or C# to generate text files to read into R.

David L. Reiner
Rho Trading Securities, LLC
550 W. Jackson Blvd #1000
Chicago, IL 60661-5704
 
312-244-4610 direct
312-244-4500 main
312-244-4501 fax
 

-----Original Message-----
From: Ian Seow [mailto:ianseow at gmail.com] 
Sent: Tuesday, July 03, 2007 6:53 PM
To: David Reiner <davidr at rhotrading.com>
Cc: r-sig-finance at stat.math.ethz.ch
Subject: [SPAM] - Re: [R-SIG-Finance] Intraday data with RBloomberg -
Email found in subject

Hi David, that doesn't seem to work either.

In the example below, I cut and paste the example from ?blpGetData,
replacing only the security field with 'USDJPY Curncy'. Notice that
the example works great when we use 'ED1 Comdty'. Also, when I try the
historical data example, it works great for USDJPY Curncy daily
prices. I'm totally stumped.
start=as.chron(Sys.time()-3600), barfields='OPEN', barsize=2)
BID.OPEN ASK.OPEN
(07/04/07 07:46:10)       NA       NA
start=as.chron(Sys.time()-3600), barfields='OPEN', barsize=2)
BID.OPEN ASK.OPEN
(07/03/07 22:38:00)   94.660   94.665
(07/03/07 22:40:00)   94.660   94.665
(07/03/07 22:42:00)   94.660   94.665
(07/03/07 22:44:00)   94.660   94.665
(07/03/07 22:46:00)   94.660   94.665
(07/03/07 22:48:00)   94.660   94.665
(07/03/07 22:50:00)   94.660   94.665
(07/03/07 22:52:00)   94.660   94.665
(07/03/07 22:54:00)   94.660   94.665
(07/03/07 22:56:00)   94.660   94.665
(07/03/07 22:58:00)   94.660   94.665
etc....
On 7/3/07, davidr at rhotrading.com <davidr at rhotrading.com> wrote:
the
Dirk Eddelbuettel
#
On 5 July 2007 at 09:56, davidr at rhotrading.com wrote:
| I can verify similar behavior.
| I can get the data via VBA behind Excel.
| Between versions of Bloomberg and R and the difficulty I seem to have
| getting RDCOMClient installed correctly, I have sort of given up on this
| approach, unfortunately so, since it seems so useful. I pretty much use
| VBA/Excel or C# to generate text files to read into R.

Well, the C/C++ code I wrote two employers ago, and which is hence still
owned by that firm and hence no shareable, worked pretty well.

It shouldn't take too long to rewrite this, starting from the Bloomberg C API
examples. As I don't currently use or need Bloomberg, I can't help.  Maybe
somebody else can though.

Dirk