[R-sig-finance] import.data.bloomberg interface
davidr at rhotrading.com
davidr at rhotrading.com
Thu Oct 21 20:57:31 CEST 2004
This much is on the web:
import.data.bloomberg(topic, security, fields, flag,type, start.date, end.date, periodicity, chron.order, pathNameToServer)
This is not the greatest design ever (well, neither is the Bloomberg API, etc.) It is also incomplete, using just the DDE server rather than the API, so historical intraday data is not available (a shortcoming I would hope someone could improve for R.)
There are also examples such as:
--------------------------------------------------------------
Summary of Replies on how to get splits from splus / bloomberg
from [Clark Sims]
[Bookmark Link][Original]
To:
s-news at wubios.wustl.edu, Matt.Kurbat at kmv.com
Subject:
Summary of Replies on how to get splits from splus / bloomberg
From:
"Clark Sims" <clarksimssplus at my-deja.com>
Date:
Thu, 5 Jul 2001 13:40:12 -0700
The following command gets splits for IBM
temp.data <- import.data.bloomberg("Bulk", "IBM Equity", "Eqy_Dvd_Hist_Splits")
column 1: declared date
column 2: ex date
column 3: record date
column 4: pay date
column 5: split ratio
Thanks To Steve Wisdom
HTH,
Clark
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Maybe they'll sue me for publicizing this, but surely it's out on the net somewhere:
DESCRIPTION
Import data from a Bloomberg database into an S-PLUS data sheet.
USAGE
import.data.bloomberg(topic, security, fields, flag, type,
start.date, end.date, periodicity, chron.order, pathNameToServer)
REQUIRED ARGUMENTS
topic character string specifying a Bloomberg data category, one of "Historical", "Market", or "Bulk".
security character string containing a comma-separated sequence of Bloomberg security IDs, or a character vector of such IDs. For example, "IBM US Equity, F US Equity" or c("IBM US Equity", "F US Equity").
fields a character string containing a comma-separated sequence of field mnemonics from the Bloomberg data dictionary, or a character vector of such mnemonics. For example, "Px High, Px Low" or c("Opt chain", "eqy dvd hist")
.
OPTIONAL ARGUMENTS
flag a character string containing any special flags that apply to your query. See the Bloomberg documentation for more details.
type a character string describing the type of security identifier that can be specified in the DDE link, such as "AIBD, VALOREN". The default value is "".
start.date number giving the start date, or the character string "Now". The Bloomberg date format is yyyymmdd. For example: 19980101, 19960520.
stop.date The end date (see start.date for format).
periodicity character string giving the frequency of the requested data. Can be one of: "Day", "Week", "Month", "Quarter", or "Year".
chron.order character string specifying the order in which to sort the data, either "Chronological" or "Reverse".
pathNameToServer a character string containing the path to BLP.EXE. This should not need to be set unless you have trouble accessing the server, in which case you can specify an explicit path.
VALUE
a data sheet containing the requested data.
SEE ALSO
import.data, import.data.mim, import.data.fame.
EXAMPLES
IBM.DS<-import.data.bloomberg("Historical", c("IBM Equity", "F Equity"),
c("Px Last","Px high"), "","",19990501, "Now",
"Day","Chronological","BLP.EXE")
IBM.DS.M<-import.data.bloomberg("Market", c("IBM Equity", "F Equity"),
c("Px Last", "Px high", "Px Low"), "","","Now", "Now", "Day",
"Chronological","BLP.EXE")
David L. Reiner
Rho Trading
440 S. LaSalle St -- Suite 620
Chicago IL 60605
312-362-4963 (voice)
312-362-4941 (fax)
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