[R] Fetching Intraday data from Bloomberg

[davidr at rhotrading.com]

na.action="bloomberg.handles"
will leave out any bars with no data.

I don't see a way to get just trading days but take fill action (prev or
na) if there is no data for a bar on a trading day. This is the same in
the API.

The periodicity parameter doesn't make sense in this context.

David L. Reiner
Rho Trading Securities, LLC
Chicago  IL  60605
312-362-4963

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Shubha Vishwanath
Karanth
Sent: Monday, November 13, 2006 9:39 AM
To: r-help at stat.math.ethz.ch
Subject: [R] Fetching Intraday data from Bloomberg

Hi Everyone.

 

I am downloading intraday Bloomberg data from R.

 

The code I give is:

 

library(zoo)

library(chron)

library(RBloomberg)

 

conn<-blpConnect(show.days="trading",na.action="previous.days",periodici
ty="daily")

dat<-blpGetData(conn, "VG1 Index", c("LAST_PRICE"),
start=as.chron(as.Date("2006-9-01", "%Y-%m-%d")),barfields="OPEN",
barsize=10,retval="data.frame")

blpDisconnect(conn)

write.table(dat,"Z:\h1.csv",sep=",",row.names=F,col.names=T)

 

 

Now, though I give show.days="trading", in the above code, my intraday
downloads also have Saturdays and Sunday data (non-active days). Why is
this so? Is it not updated in R? Note that this happens only for
intraday downloads and not for the usual historical downloads where time
is not considered.

 

Please answer me ASAP...

 

Thanks in advance.

 

 


	[[alternative HTML version deleted]]

______________________________________________
R-help at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.