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

[¨Tariq Khan]

Dear Robert,

I know this isn't an issue with RBloomeberg per se, but could you
please tell us which version of RDCOMClient to use? COMCreate() in
blpConnect() causes my instance of R to crash on 2.2.1, using
RDCOMClient 0.91-0, which is the latest version I was able to find on
Omegahat.

Regards,

Tariq


On 2/13/06, Robert Sams <Robert at sanctumfi.com> wrote:
> 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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> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> >
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