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HELP: Problem with RBloomberg blp intraday data
5 messages · Benjamin, Michael, John Laing, thomas.chan.sf at boci-pru.com.hk
4 days later
Michael, It is helpful if you provide information about the version of R and various packages that you are running. The sessionInfo() function is an excellent way to do that. The timeout argument to blpConnect was eliminated in early 2010, so I assume your version of RBloomberg is very old. There are now several recent threads on this list about how to upgrade and the dependencies involved. I recommend you read some of these. In the current RBloomberg what you're trying to do is pretty straightforward: library(RBloomberg) conn <- blpConnect() trades <- bar(conn, "AGS BB Equity", "TRADE", "2011-09-12 08:00:00.000", "2011-09-12 16:30:00.000", "1") Hope that helps, John On Thu, Nov 24, 2011 at 5:45 AM, Benjamin, Michael
<Michael.Benjamin at bernstein.com> wrote:
Hello
I am trying to download some intraday data, the number of ticks over a time range. ?Packages installed are "package:RBloomberg" and "package:RDCOMClient".
The data request is for the number of ticks over a date range using
conn<-blpConnect(timeout=120000,show.days="week",na.action="na",periodicity="daily")
blp(conn, "AGS BB EQUITY",fields=c("LAST_PRICE"),start="2011-09-12 08:00",end="2011-09-12 16:30",barsize=510, barfields="NUMBER_TICKS")
which returns the number 3574. ?When passing the argument fields=c("BID") or fields=c("ASK") the number of bid or ask ticks returns <NA>.
blp(conn, "AGS BB EQUITY",fields=c("BID"),start="2011-09-12 08:00",end="2011-09-12 16:30",barsize=510, barfields="NUMBER_TICKS")
blp(conn, "AGS BB EQUITY",fields=c("ASK"),start="2011-09-12 08:00",end="2011-09-12 16:30",barsize=510, barfields="NUMBER_TICKS")
The issue is this is not consistent behavour with other stocks, for example, for EBS AV EQUITY the BID, ASK LAST_PRICE number of ticks is
33800, 33800,2232
Has anyone got any idea why this happens or if there is a way to resolve it?
Best regards
Michael
............................................................................
Sanford C. Bernstein Limited (registered in England and Wales under company number 3760267) is authorised and regulated in the United Kingdom by the Financial Services Authority. The company has its registered office at 50 Berkeley Street, London W1J 8SB.
Trading instructions sent electronically to Bernstein shall not be deemed accepted until a representative of Bernstein acknowledges receipt electronically or by telephone. Comments in this e-mail transmission and any attachments may form part of a larger body of investment analysis. For our research reports, which contain information that may be used to support investment decisions and disclosures see our website at www.bernsteinresearch.com.
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Please note that as of 7 November, 2011 Sanford C. Bernstein Limited will be located at 50 Berkeley Street, London W1J 8SB.
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Hello, I have been using RBloomberg for some time and it seems to be working fine. A couple weeks ago I used this formula (bdh(conn, "EI779327 Corp", "YLD_CNV_LAST", "20090629", "") to download yield data. I notice that there were a few NAs in the data and the number of missing observations were different in two downloads in two different days. I checked it using Excel API and found that there should not be missing observation at all. I do it again today and found that there are even more missing observations. Furthermore, it caused my Excel API connection to break down. It seems that the RBloomberg connection is giving incomplete data. What is happening? Suggestions would be greatly appreciated. I am using R X64 2.14.0. Tom --------------------------------------------------------------------------------------- Important : The information contained in this e-mail and any attachment thereof is intended only for use of the addressee and is confidential and may be privileged and/or otherwise protected from disclosure. If you are not the intended recipient, you are hereby notified that any use, copying, dissemination or any other action taken or omitted to be taken in reliance upon this information is strictly prohibited. If you have received this communication in error, please notify the sender immediately by reply and delete this message from your system. Any views expressed in this e-mail are those of the individual sender except where the e-mail states otherwise and the sender is authorized to state them to be the views of BOCI-Prudential Asset Management Limited. Unless otherwise stated, any information given in this e-mail shall not be regarded as an offer, solicitation, invitation, advice or recommendation to buy or sell any investment or securities within or outside Hong Kong SAR. Any reference to the terms of executed transactions should be treated as preliminary only and subject to our formal written confirmation. ______________________________________________________________________ This email has been scanned by the Symantec Email Security.cloud service. For more information please visit http://www.symanteccloud.com
I checked it with Excel API again today and do see the missing data. Perhaps it is a Bloomberg problem!? |------------> | From: | |------------> >----------------------------------------------------------------------------------------------------------------------------------------| |thomas.chan.sf at boci-pru.com.hk | >----------------------------------------------------------------------------------------------------------------------------------------| |------------> | To: | |------------> >----------------------------------------------------------------------------------------------------------------------------------------| |r-sig-finance at r-project.org | >----------------------------------------------------------------------------------------------------------------------------------------| |------------> | Cc: | |------------> >----------------------------------------------------------------------------------------------------------------------------------------| |r-sig-finance-bounces at r-project.org | >----------------------------------------------------------------------------------------------------------------------------------------| |------------> | Date: | |------------> >----------------------------------------------------------------------------------------------------------------------------------------| |29/11/2011 12:38 | >----------------------------------------------------------------------------------------------------------------------------------------| |------------> | Subject: | |------------> >----------------------------------------------------------------------------------------------------------------------------------------| |[R-SIG-Finance] RBloomberg data download problem | >----------------------------------------------------------------------------------------------------------------------------------------| |------------> | Sent by: | |------------> >----------------------------------------------------------------------------------------------------------------------------------------| |r-sig-finance-bounces at r-project.org | >----------------------------------------------------------------------------------------------------------------------------------------| Hello, I have been using RBloomberg for some time and it seems to be working fine. A couple weeks ago I used this formula (bdh(conn, "EI779327 Corp", "YLD_CNV_LAST", "20090629", "") to download yield data. I notice that there were a few NAs in the data and the number of missing observations were different in two downloads in two different days. I checked it using Excel API and found that there should not be missing observation at all. I do it again today and found that there are even more missing observations. Furthermore, it caused my Excel API connection to break down. It seems that the RBloomberg connection is giving incomplete data. What is happening? Suggestions would be greatly appreciated. I am using R X64 2.14.0. Tom --------------------------------------------------------------------------------------- Important : The information contained in this e-mail and any attachment thereof is intended only for use of the addressee and is confidential and may be privileged and/or otherwise protected from disclosure. If you are not the intended recipient, you are hereby notified that any use, copying, dissemination or any other action taken or omitted to be taken in reliance upon this information is strictly prohibited. If you have received this communication in error, please notify the sender immediately by reply and delete this message from your system. Any views expressed in this e-mail are those of the individual sender except where the e-mail states otherwise and the sender is authorized to state them to be the views of BOCI-Prudential Asset Management Limited. Unless otherwise stated, any information given in this e-mail shall not be regarded as an offer, solicitation, invitation, advice or recommendation to buy or sell any investment or securities within or outside Hong Kong S! AR. Any reference to the terms of executed transactions should be treated as preliminary only and subject to our formal written confirmation. ______________________________________________________________________ This email has been scanned by the Symantec Email Security.cloud service. For more information please visit http://www.symanteccloud.com _______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. ______________________________________________________________________ This email has been scanned by the Symantec Email Security.cloud service. For more information please visit http://www.symanteccloud.com ______________________________________________________________________ ______________________________________________________________________ This email has been scanned by the Symantec Email Security.cloud service. For more information please visit http://www.symanteccloud.com
John Thanks for looking into this for me. Details of what I am using is as follows: ============================================================
sessionInfo()
R version 2.10.1 (2009-12-14) i386-pc-mingw32 locale: [1] LC_COLLATE=English_United Kingdom.1252 [2] LC_CTYPE=English_United Kingdom.1252 [3] LC_MONETARY=English_United Kingdom.1252 [4] LC_NUMERIC=C [5] LC_TIME=English_United Kingdom.1252 attached base packages: [1] grDevices datasets stats utils graphics methods base other attached packages: [1] RBloomberg_0.2-98 [3] [5] [7] [9] [11] ============================================================ I agree that what is being processed is pretty straightforward which is why it is strange that it works for some data and not for others despite using an old version of RBloomberg. I will update my RBloomber soon, but out of curiosity, as the issue is not the "TRADE" ticks being returned over a time range (which works OK for me) but the "number of ticks" for bid or ask prices. Do you have any issues if you increase the barsize to 510 and request the total number of ticks for bid, ask and trade ticks for the same stock over the same time period? Best regards Michael -----Original Message----- From: John Laing [mailto:john.laing at gmail.com] Sent: 29 November 2011 00:23 To: Benjamin, Michael Cc: r-sig-finance at r-project.org Subject: Re: [R-SIG-Finance] HELP: Problem with RBloomberg blp intraday data Michael, It is helpful if you provide information about the version of R and various packages that you are running. The sessionInfo() function is an excellent way to do that. The timeout argument to blpConnect was eliminated in early 2010, so I assume your version of RBloomberg is very old. There are now several recent threads on this list about how to upgrade and the dependencies involved. I recommend you read some of these. In the current RBloomberg what you're trying to do is pretty straightforward: library(RBloomberg) conn <- blpConnect() trades <- bar(conn, "AGS BB Equity", "TRADE", "2011-09-12 08:00:00.000", "2011-09-12 16:30:00.000", "1") Hope that helps, John On Thu, Nov 24, 2011 at 5:45 AM, Benjamin, Michael
<Michael.Benjamin at bernstein.com> wrote:
Hello
I am trying to download some intraday data, the number of ticks over a time range. ?Packages installed are "package:RBloomberg" and "package:RDCOMClient".
The data request is for the number of ticks over a date range using
conn<-blpConnect(timeout=120000,show.days="week",na.action="na",periodicity="daily")
blp(conn, "AGS BB EQUITY",fields=c("LAST_PRICE"),start="2011-09-12 08:00",end="2011-09-12 16:30",barsize=510, barfields="NUMBER_TICKS")
which returns the number 3574. ?When passing the argument fields=c("BID") or fields=c("ASK") the number of bid or ask ticks returns <NA>.
blp(conn, "AGS BB EQUITY",fields=c("BID"),start="2011-09-12 08:00",end="2011-09-12 16:30",barsize=510, barfields="NUMBER_TICKS")
blp(conn, "AGS BB EQUITY",fields=c("ASK"),start="2011-09-12 08:00",end="2011-09-12 16:30",barsize=510, barfields="NUMBER_TICKS")
The issue is this is not consistent behavour with other stocks, for example, for EBS AV EQUITY the BID, ASK LAST_PRICE number of ticks is
33800, 33800,2232
Has anyone got any idea why this happens or if there is a way to resolve it?
Best regards
Michael
............................................................................
Sanford C. Bernstein Limited (registered in England and Wales under company number 3760267) is authorised and regulated in the United Kingdom by the Financial Services Authority. The company has its registered office at 50 Berkeley Street, London W1J 8SB.
Trading instructions sent electronically to Bernstein shall not be deemed accepted until a representative of Bernstein acknowledges receipt electronically or by telephone. Comments in this e-mail transmission and any attachments may form part of a larger body of investment analysis. For our research reports, which contain information that may be used to support investment decisions and disclosures see our website at www.bernsteinresearch.com.
For further important information about AllianceBernstein please click here http://www.alliancebernstein.com/disclaimer/email/disclaimer.html
Please note that as of 7 November, 2011 Sanford C. Bernstein Limited will be located at 50 Berkeley Street, London W1J 8SB.
? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.