[R-SIG-Finance] Intraday data with RBloomberg

davidr at rhotrading.com davidr at rhotrading.com
Tue Jul 3 15:30:47 CEST 2007

Almost there! You just have to set the barfields; see the example at the
end of ?blpGetData.

David L. Reiner
Rho Trading Securities, LLC
550 W. Jackson Blvd #1000
Chicago, IL 60661-5704
312-244-4610 direct
312-244-4500 main
312-244-4501 fax

-----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 Ian Seow
Sent: Tuesday, July 03, 2007 2:25 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Intraday data with RBloomberg

Hi, I'm currently trying to implement an intraday currency model using
a live feed from bloomberg.
I hit the following error when I attempt to download intraday 2 min

> usdjpy=blpGetData(conn,securities='USDJPY
Curncy',fields=c('BID','ASK'), start= as.chron(Sys.time()-6000),
end=as.chron(Sys.time()),barsize=2, barfields='OPEN')

> usdjpy
                    BID.OPEN ASK.OPEN
(07/03/07 15:01:45)       NA       NA

blpGetData works fine for historical price data and seems to work fine
for commodity futures ( e.g. the example above works fine for ED1
Comdty), so I'm puzzled why this function does not return a result for
Curncy. I double-checked the "USDJPY Curncy" intraday bloomberg API
feed in excel and it works.

Also, is it a good idea in general to avoid implementing such models
in R?  Would C/C++ be a better alternative?
Any ideas / insights would be greatly appreciated! Thanks.

Best Regards
Ian Seow

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