[R-sig-finance] [R] Bloomberg Data Import to R

[Robert Sams]

My package RBloomberg (v0.1-7) is now on CRAN. 

RBloomberg can make the following types of data requests to the Bloomberg:
	1. real-time snapshots
	2. historical end-of-day
	3. historical intraday bars
	4. historical intraday tick-by-tick
All calls are made via a single user function blpGetData. For example:
	conn <- blpConnect(iface="COM")
	## Historical 
	blpGetData(conn, "ED1 Comdty", "PX_LAST", start=chron("1/1/06"), end=chron("1/31/06"))
	## Intraday bars (10min intervals)
	blpGetData(conn, "ED1 Comdty", c("BID","ASK"), start=chron("1/31/06", times="16:00:00"), 
	end=chron("1/31/06", times="17:00:00"), barfields="OPEN", barsize=10)

The design goal is an intuitive R user interface that is abstracted from the details of the particular Bloomberg interface used. Bloomberg presently offers three interfaces: C, .NET and COM. All three are implemented as a desktop product and (since late 2005) a server product that now supports Linux on Intel hardware. blpGetData is a generic and a method will eventually exist for each Bloomberg interface. Currently, only the desktop COM interface is supported.

Please use it, hack it and give me your feedback. 

Cheers,
Robert


> -----Original Message-----
> From: McGehee, Robert [mailto:Robert.McGehee at geodecapital.com]
> Sent: Friday, February 10, 2006 10:04 PM
> To: Andrew Piskorski; r-sig-finance at stat.math.ethz.ch
> Subject: Re: [R-sig-finance] [R] Bloomberg Data Import to R
> 
> 
> We have implemented interfaces to both the C API and the .NET API.
> However, it was my understanding that Bloomberg was deprecating the C
> API entirely in favor of the .NET API, so my company has been 
> moving our
> data pulls to the new API system. If this is the case, it may be a
> wrinkle for a package based on the C API.
> 
> FYI: As a Bloomberg terminal is required to pull the data, we have
> gotten around the Linux problem by setting up an Apache server on a
> Windows box with a Perl or C# wrapper that connects to 
> Bloomberg via the
> respective API. We can then pull the data in from any computer by just
> querying the Apache server. Seems to work quite well. Of 
> course, someone
> still needs to log into the Bloomberg each morning.
> 
> --Robert
> 
> -----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 Andrew
> Piskorski
> Sent: Friday, February 10, 2006 6:30 AM
> To: r-sig-finance at stat.math.ethz.ch
> Subject: Re: [R-sig-finance] [R] Bloomberg Data Import to R
> 
> On Wed, Feb 08, 2006 at 08:42:19AM -0600, Dirk Eddelbuettel wrote:
> 
> > Barely platform independent. Bloomberg supports only Windows and
> Solaris, and
> > I'd be surprised if there even were a dozen installations using
> Solaris ...
> 
> Last I heard, more than a year ago, Bloomberg was actively trying to
> get users off Solaris, setting deadlines for when it would be
> desupported, etc.  Bloomberg on Solaris may be gone completely by now,
> I'm not sure.
> 
> > So matter-of-factishly, it's Windoze-only. Just like the 
> COM solution.
> 
> Yep.  Of course, if Bloomberg were suddenly to decide to support their
> Terminal on Linux or some other non-Windows operating system,
> presumably they would continue to include the C API there as well.
> 
> Also, Bloomberg seems to regard their C API as legacy software.  I
> assume they won't be adding much new to it, but that also means that
> they're unlikely to change it enough to seriously break it's latent
> cross-platform-ness, however much of that it really has.  :)
> 
> Presumably the Bloomberg Terminal codebase has been becoming more and
> more MS Windows centric, though.  My vague understanding was that the
> C API doesn't really need the Terminal to function, but it piggy backs
> on the Terminal's authentication somehow.  They could stick in some
> other sort of authentication if they really wanted to.
> 
> I could imagine them spinning off the C API codebase, enhancing it,
> and then offering it as some other sort of product.  But then again,
> although it's fast, the C API isn't terribly user friendly - even for
> C programmers - so maybe their potential customers wouldn't be
> interested anyway.
> 
> -- 
> Andrew Piskorski <atp at piskorski.com>
> http://www.piskorski.com/
> 
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