An embedded and charset-unspecified text was scrubbed... Name: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20080508/d2661f39/attachment.pl>
Rbloomberg problem
5 messages · Jorge Nieves, Ana Nelson, davidr at rhotrading.com
An embedded and charset-unspecified text was scrubbed... Name: not available URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20080508/02757bfa/attachment.pl>
Thank you... I just re-run them now and obtained the same results.. What version of R are you using? -----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 Ana Nelson Sent: Thursday, May 08, 2008 11:40 AM To: r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] Rbloomberg problem Hi, Jorge, Was the market actually open for the time period you requested? I've just run those queries and they are working fine for me. Will you try this again making sure the market you are querying is open and let me know if it works for you? Regards, Ana 2008/5/8 Jorge Nieves <jorge.nieves at moorecap.com>:
Hi, I am new R user and have been trying to properly configure an R working environment. I have it up and ruining except for the
Rbloomberg.
I tried running the examples in the documentation. And encountered into several issues: First, R2.5.1 was crashing and I could never understand why. I installed the latest release R 2.7.0 and was eventually able to run only tow of the examples from blpGetData(RBloomberg) The intraday "Intraday bars" and the "Tick-by-tick" examples do not
run.
I am wondering if (1) made a mistake in the set up? Or (2) there is a
problem here with R 2.7.0 too.
Currently using
Package: RBloomberg
Version: 0.1-10
Date: 2006-05-04
Built: R 2.5.1; ; 2007-07-22 18:19:52; windows
Usinga lso 'RDCOMClient' version 0.92-0
Any recommendatiosn?
blpGetData(RBloomberg) examples.
library(RBloomberg)
.bbfields <- blpReadFields("C:/Program Files/blp/API")
## Not run:
conn <- blpConnect()
## Snapshot
eda <- blpGetData(conn, c("ED5 Comdty","ED6 Comdty","ED7 Comdty",
"ED8 Comdty"), "BID")
eda
## Historical (last 30 days)
edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",
start=as.chron(Sys.time() - 86400 * 30)) edb
## Intraday bars (last hour in 2 min bars) edc <- blpGetData(conn,
"ED1 Comdty", c("BID","ASK"),
start=as.chron(Sys.time() - 3600), barfields="OPEN", barsize=2) edc
## Tick-by-tick (3 minutes starting an hour ago) edd <-
blpGetData(conn, "ED1 Comdty", c("BID"),
start=as.chron(Sys.time() - 3600),
end=as.chron(Sys.time() - 3420), barsize=0) edd
blpDisconnect(conn)
## End(Not run)
Output
.bbfields <- blpReadFields("C:/Program Files/blp/API")
## Not run:
conn <- blpConnect()
## Snapshot
eda <- blpGetData(conn, c("ED5 Comdty","ED6 Comdty","ED7 Comdty",
+ "ED8 Comdty"), "BID")
eda
BID ED5 COMDTY 96.860 ED6 COMDTY 96.680 ED7 COMDTY 96.475 ED8 COMDTY 96.330
## Historical (last 30 days) edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",
+ start=as.chron(Sys.time() - 86400 * 30))
edb
PX_LAST 04/08/08 97.530 04/09/08 97.545 04/10/08 97.500 04/11/08 97.540 04/14/08 97.495 04/15/08 97.440 04/16/08 97.290 04/17/08 97.120 04/18/08 97.090 04/21/08 97.125 04/22/08 97.125 04/23/08 97.135 04/24/08 97.145 04/25/08 97.135 04/28/08 97.195 04/29/08 97.245 04/30/08 97.325 05/01/08 97.330 05/02/08 97.365 05/05/08 97.350 05/06/08 97.365 05/07/08 97.365 05/08/08 97.395
## Intraday bars (last hour in 2 min bars) edc <- blpGetData(conn,
"ED1 Comdty", c("BID","ASK"),
+ start=as.chron(Sys.time() - 3600), barfields="OPEN", barsize=2)
edc
BID.OPEN ASK.OPEN (05/08/08 09:26:21) NA NA
## Tick-by-tick (3 minutes starting an hour ago) edd <-
blpGetData(conn, "ED1 Comdty", c("BID"),
+ start=as.chron(Sys.time() - 3600), + end=as.chron(Sys.time() - 3420), barsize=0)
edd
Error in substr(text, first, last) : invalid substring argument(s)
blpDisconnect(conn)
used (Mb) gc trigger (Mb) max used (Mb) Ncells 291899 7.8 531268 14.2 408779 11.0 Vcells 610228 4.7 1151091 8.8 1151024 8.8
## End(Not run) help(blpDisconnect)
Jorge Nieves
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.
I'm using R 2.7 There is a newer version of RBloomberg which you can try, 0.1-11. It's not on CRAN yet, but you can get it from r-forge: http://r-forge.r-project.org/projects/rbloomberg/ To install the package directly within R type: install.packages("RBloomberg",repos="http://R-Forge.R-project.org") I have attached a script of what I am running. Will you run this and send me your console transcript as a text file attachment? (you can send it directly to me, not the list) 2008/5/8 Jorge Nieves <jorge.nieves at moorecap.com>:
Thank you... I just re-run them now and obtained the same results.. What version of R are you using? -----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 Ana Nelson Sent: Thursday, May 08, 2008 11:40 AM To: r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] Rbloomberg problem Hi, Jorge, Was the market actually open for the time period you requested? I've just run those queries and they are working fine for me. Will you try this again making sure the market you are querying is open and let me know if it works for you? Regards, Ana 2008/5/8 Jorge Nieves <jorge.nieves at moorecap.com>:
Hi, I am new R user and have been trying to properly configure an R working environment. I have it up and ruining except for the
Rbloomberg.
I tried running the examples in the documentation. And encountered into several issues: First, R2.5.1 was crashing and I could never understand why. I installed the latest release R 2.7.0 and was eventually able to run only tow of the examples from blpGetData(RBloomberg) The intraday "Intraday bars" and the "Tick-by-tick" examples do not
run.
I am wondering if (1) made a mistake in the set up? Or (2) there is a
problem here with R 2.7.0 too.
Currently using
Package: RBloomberg
Version: 0.1-10
Date: 2006-05-04
Built: R 2.5.1; ; 2007-07-22 18:19:52; windows
Usinga lso 'RDCOMClient' version 0.92-0
Any recommendatiosn?
blpGetData(RBloomberg) examples.
library(RBloomberg)
.bbfields <- blpReadFields("C:/Program Files/blp/API")
## Not run:
conn <- blpConnect()
## Snapshot
eda <- blpGetData(conn, c("ED5 Comdty","ED6 Comdty","ED7 Comdty",
"ED8 Comdty"), "BID")
eda
## Historical (last 30 days)
edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",
start=as.chron(Sys.time() - 86400 * 30)) edb
## Intraday bars (last hour in 2 min bars) edc <- blpGetData(conn,
"ED1 Comdty", c("BID","ASK"),
start=as.chron(Sys.time() - 3600), barfields="OPEN", barsize=2) edc
## Tick-by-tick (3 minutes starting an hour ago) edd <-
blpGetData(conn, "ED1 Comdty", c("BID"),
start=as.chron(Sys.time() - 3600),
end=as.chron(Sys.time() - 3420), barsize=0) edd
blpDisconnect(conn)
## End(Not run)
Output
.bbfields <- blpReadFields("C:/Program Files/blp/API")
## Not run:
conn <- blpConnect()
## Snapshot
eda <- blpGetData(conn, c("ED5 Comdty","ED6 Comdty","ED7 Comdty",
+ "ED8 Comdty"), "BID")
eda
BID ED5 COMDTY 96.860 ED6 COMDTY 96.680 ED7 COMDTY 96.475 ED8 COMDTY 96.330
## Historical (last 30 days) edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",
+ start=as.chron(Sys.time() - 86400 * 30))
edb
PX_LAST 04/08/08 97.530 04/09/08 97.545 04/10/08 97.500 04/11/08 97.540 04/14/08 97.495 04/15/08 97.440 04/16/08 97.290 04/17/08 97.120 04/18/08 97.090 04/21/08 97.125 04/22/08 97.125 04/23/08 97.135 04/24/08 97.145 04/25/08 97.135 04/28/08 97.195 04/29/08 97.245 04/30/08 97.325 05/01/08 97.330 05/02/08 97.365 05/05/08 97.350 05/06/08 97.365 05/07/08 97.365 05/08/08 97.395
## Intraday bars (last hour in 2 min bars) edc <- blpGetData(conn,
"ED1 Comdty", c("BID","ASK"),
+ start=as.chron(Sys.time() - 3600), barfields="OPEN", barsize=2)
edc
BID.OPEN ASK.OPEN (05/08/08 09:26:21) NA NA
## Tick-by-tick (3 minutes starting an hour ago) edd <-
blpGetData(conn, "ED1 Comdty", c("BID"),
+ start=as.chron(Sys.time() - 3600), + end=as.chron(Sys.time() - 3420), barsize=0)
edd
Error in substr(text, first, last) : invalid substring argument(s)
blpDisconnect(conn)
used (Mb) gc trigger (Mb) max used (Mb) Ncells 291899 7.8 531268 14.2 408779 11.0 Vcells 610228 4.7 1151091 8.8 1151024 8.8
## End(Not run) help(blpDisconnect)
Jorge Nieves
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.
[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first. _______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.
-------------- next part -------------- An HTML attachment was scrubbed... URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20080508/e1188be6/attachment.html> -------------- next part -------------- An embedded and charset-unspecified text was scrubbed... Name: example.R URL: <https://stat.ethz.ch/pipermail/r-sig-finance/attachments/20080508/e1188be6/attachment.pl>
I installed the new RBloomberg from r-forge into a new R 2.7.0 patched, and I am getting the same results as Jorge.
sessionInfo()
R version 2.7.0 Patched (2008-05-06 r45624) i386-pc-mingw32 locale: LC_COLLATE=English_United States.1252;LC_CTYPE=English_United States.1252;LC_MONETARY=English_United States.1252;LC_NUMERIC=C;LC_TIME=English_United States.1252 attached base packages: [1] stats graphics grDevices utils datasets methods base other attached packages: [1] RBloomberg_0.1-11 chron_2.3-22 zoo_1.4-2 RDCOMClient_0.92-0 loaded via a namespace (and not attached): [1] grid_2.7.0 lattice_0.17-7 tools_2.7.0
ls(all=TRUE)
character(0)
library(RBloomberg)
conn <- blpConnect()
ex1 <- blpGetData(conn, "ED1 Comdty", c("BID","ASK"), start=as.chron(Sys.time() - 3600), barfields="OPEN", barsize=2)
ex2 <- blpGetData(conn, "ED1 Comdty", c("BID"), start=as.chron(Sys.time() - 3600), end=as.chron(Sys.time() - 3420), barsize=0)
ex1
BID.OPEN ASK.OPEN (05/08/08 13:14:41) NA NA
ex2
Error in substr(text, first, last) : invalid substring argument(s) (I was also got the same results in R 2.6.1 patched with the RBloomberg_0.1-10, and R 2.7.0 with RBloomberg_0.1-10) (Is it possible that Bloomberg is confused? Does BDP work in Excel? BDH?) ---------------------------- David L. Reiner, PhD Head Quant Rho Trading Securities, LLC ---------------------------- From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Ana Nelson Sent: Thursday, May 08, 2008 11:09 AM To: r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] Rbloomberg problem I'm using R 2.7 There is a newer version of RBloomberg which you can try, 0.1-11. It's not on CRAN yet, but you can get it from r-forge: http://r-forge.r-project.org/projects/rbloomberg/ To install the package directly within R type: install.packages("RBloomberg",repos="http://R-Forge.R-project.org") I have attached a script of what I am running. Will you run this and send me your console transcript as a text file attachment? (you can send it directly to me, not the list) 2008/5/8 Jorge Nieves <jorge.nieves at moorecap.com>: ?Thank you... I just re-run them now and obtained the same results.. What version of R are you using? -----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 Ana Nelson Sent: Thursday, May 08, 2008 11:40 AM To: r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] Rbloomberg problem Hi, Jorge, Was the market actually open for the time period you requested? I've just run those queries and they are working fine for me. Will you try this again making sure the market you are querying is open and let me know if it works for you? Regards, Ana 2008/5/8 Jorge Nieves <jorge.nieves at moorecap.com>:
Hi, I am new R user and have been trying to properly configure an R working environment. ?I ?have it up and ruining except for the
Rbloomberg.
I tried running the examples in the documentation. And encountered into several issues: ?First, R2.5.1 was crashing and I could never understand why. I installed the latest release R 2.7.0 and was eventually able to run only tow of the examples from blpGetData(RBloomberg) The intraday "Intraday bars" and the "Tick-by-tick" examples do not
run.
I am wondering if (1) made a mistake in the set up? Or (2) there is a
problem here with R 2.7.0 too.
Currently using
Package: ? ? ? RBloomberg
Version: ? ? ? 0.1-10
Date: ? ? ? ? ?2006-05-04
Built: ? ? ? ? R 2.5.1; ; 2007-07-22 18:19:52; windows
Usinga lso 'RDCOMClient' version 0.92-0
Any recommendatiosn?
blpGetData(RBloomberg) examples.
library(RBloomberg)
.bbfields <- blpReadFields("C:/Program Files/blp/API")
## Not run:
conn <- blpConnect()
## Snapshot
eda <- blpGetData(conn, c("ED5 Comdty","ED6 Comdty","ED7 Comdty",
"ED8 Comdty"), "BID")
eda
## Historical (last 30 days)
edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",
start=as.chron(Sys.time() - 86400 * 30)) edb
## Intraday bars (last hour in 2 min bars) edc <- blpGetData(conn,
"ED1 Comdty", c("BID","ASK"),
start=as.chron(Sys.time() - 3600), barfields="OPEN", barsize=2) edc
## Tick-by-tick (3 minutes starting an hour ago) edd <-
blpGetData(conn, "ED1 Comdty", c("BID"),
start=as.chron(Sys.time() - 3600),
end=as.chron(Sys.time() - 3420), barsize=0) edd
blpDisconnect(conn)
## End(Not run)
Output
.bbfields <- blpReadFields("C:/Program Files/blp/API")
## Not run:
conn <- blpConnect()
## Snapshot
eda <- blpGetData(conn, c("ED5 Comdty","ED6 Comdty","ED7 Comdty",
+ "ED8 Comdty"), "BID")
eda
? ? ? ? ? ? ?BID ED5 COMDTY 96.860 ED6 COMDTY 96.680 ED7 COMDTY 96.475 ED8 COMDTY 96.330
## Historical (last 30 days) edb <- blpGetData(conn, "ED1 Comdty", "PX_LAST",
+ start=as.chron(Sys.time() - 86400 * 30))
edb
? ? ? ? PX_LAST 04/08/08 ?97.530 04/09/08 ?97.545 04/10/08 ?97.500 04/11/08 ?97.540 04/14/08 ?97.495 04/15/08 ?97.440 04/16/08 ?97.290 04/17/08 ?97.120 04/18/08 ?97.090 04/21/08 ?97.125 04/22/08 ?97.125 04/23/08 ?97.135 04/24/08 ?97.145 04/25/08 ?97.135 04/28/08 ?97.195 04/29/08 ?97.245 04/30/08 ?97.325 05/01/08 ?97.330 05/02/08 ?97.365 05/05/08 ?97.350 05/06/08 ?97.365 05/07/08 ?97.365 05/08/08 ?97.395
## Intraday bars (last hour in 2 min bars) edc <- blpGetData(conn,
"ED1 Comdty", c("BID","ASK"),
+ start=as.chron(Sys.time() - 3600), barfields="OPEN", barsize=2)
edc
? ? ? ? ? ? ? ? ? ?BID.OPEN ASK.OPEN (05/08/08 09:26:21) ? ? ? NA ? ? ? NA
## Tick-by-tick (3 minutes starting an hour ago) edd <-
blpGetData(conn, "ED1 Comdty", c("BID"),
+ start=as.chron(Sys.time() - 3600), + end=as.chron(Sys.time() - 3420), barsize=0)
edd
Error in substr(text, first, last) : invalid substring argument(s)
blpDisconnect(conn)
? ? ? ? used (Mb) gc trigger (Mb) max used (Mb) Ncells 291899 ?7.8 ? ? 531268 14.2 ? 408779 11.0 Vcells 610228 ?4.7 ? ?1151091 ?8.8 ?1151024 ?8.8
## End(Not run) help(blpDisconnect)
Jorge Nieves ? ? ? ?[[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.
? ? ? ?[[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first. _______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.