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Question regarding Tick Data

5 messages · Gandhi, Puneet - RSCH AMRS, Ulrich Staudinger, Whit Armstrong

Original
Gandhi, Puneet - RSCH AMRS
# 
I tried multiple things.

This command worked very well
a = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000",
"2010-07-20 22:00:00.000" )

But this doesn't include all the data

The excel equivalent which gives all the data I need is 

=BDH($A$1,"TRADE","7/27/2010 9:00:00
AM","","Dir=V","Dts=S","Sort=A","IntrRw=True","CondCodes=H","QRM=S","Exc
hCode=H","BrkrCodes=H","RPSCodes=H","cols=4;rows=20477")

I did some testing and "QRM=S" helps me get this extra data.If I remove
QRM="S" then that data vanishes

Now, I tried
b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000",
"2010-07-20 22:00:00.000",option_names = "includeQRMCodes",
option_values = "TRUE")

b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000",
"2010-07-20 22:00:00.000",option_names = "includeQRM", option_values =
"TRUE")
b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000",
"2010-07-20 22:00:00.000",option_names = "QRM", option_values = "S")
b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000",
"2010-07-20 22:00:00.000",QRM="S" )

None of these work. 

Thanks

-----Original Message-----
From: Brian G. Peterson [mailto:brian at braverock.com] 
Sent: Tuesday, July 27, 2010 11:06 AM
To: Gandhi, Puneet - RSCH AMRS
Subject: Re: [R-SIG-Finance] Question regarding Tick Data
On Tue, 2010-07-27 at 10:50 -0400, Gandhi, Puneet - RSCH AMRS wrote:
all
Please reply to your *list* posting with a reproducible code example.
What commands did you try?
You said one command worked... what was it?
You said one failed.... what was that?
What happened when you tried it?
Whit Armstrong
# 
I'm sure you have to make due with what  you can, but tick data from
BBG?  Doesn't ML have a better source (direct from the exchange
perhaps)?

-Whit


On Tue, Jul 27, 2010 at 3:42 PM, Gandhi, Puneet - RSCH AMRS
<p.gandhi at baml.com> wrote:
Ulrich Staudinger
# 
Well, when you have a BB terminal, it's definitely better to reuse this 
than spending money on getting the data directly from the exchange or 
any other third party provider. Also mind that there, afaik, no R 
packages readily available to fetch data from any of the exchanges .....

Am 27.07.2010 23:04, schrieb Whit Armstrong:
Whit Armstrong
# 
Look I understand the convenience of a bbg terminal (I have one
myself), but I just can't imagine that a big place like baml doesn't
have tick data on TY futures stored in an internal DB somewhere.

There is also BBG Datalicense, which delivers the bbg data directly to
your database (well almost directly).  We are a customer. It works as
advertised, and it's not all that expensive.

-Whit


On Tue, Jul 27, 2010 at 5:08 PM, Ulrich Staudinger
<ustaudinger at gmail.com> wrote:
Gandhi, Puneet - RSCH AMRS
# 
Thanks for your help, I solved the problem. It was related to date.
As for Whit's question, the desk might not want to pay for a big data when it requires only few  fields, which in my case is true.

Thanks 

-----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 Whit Armstrong
Sent: Tuesday, July 27, 2010 5:21 PM
To: Ulrich Staudinger
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Question regarding Tick Data

Look I understand the convenience of a bbg terminal (I have one
myself), but I just can't imagine that a big place like baml doesn't
have tick data on TY futures stored in an internal DB somewhere.

There is also BBG Datalicense, which delivers the bbg data directly to
your database (well almost directly).  We are a customer. It works as
advertised, and it's not all that expensive.

-Whit


On Tue, Jul 27, 2010 at 5:08 PM, Ulrich Staudinger
<ustaudinger at gmail.com> wrote:
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