[R-SIG-Finance] Intraday data with RBloomberg

[Ian Seow]

Hi David, that doesn't seem to work either.

In the example below, I cut and paste the example from ?blpGetData,
replacing only the security field with 'USDJPY Curncy'. Notice that
the example works great when we use 'ED1 Comdty'. Also, when I try the
historical data example, it works great for USDJPY Curncy daily
prices. I'm totally stumped.


> edc=blpGetData(conn,'USDJPY Curncy', c('BID','ASK'), start=as.chron(Sys.time()-3600), barfields='OPEN', barsize=2)

> edc
                    BID.OPEN ASK.OPEN
(07/04/07 07:46:10)       NA       NA

> edc=blpGetData(conn,'ED1 Comdty', c('BID','ASK'), start=as.chron(Sys.time()-3600), barfields='OPEN', barsize=2)
> edc
                    BID.OPEN ASK.OPEN
(07/03/07 22:38:00)   94.660   94.665
(07/03/07 22:40:00)   94.660   94.665
(07/03/07 22:42:00)   94.660   94.665
(07/03/07 22:44:00)   94.660   94.665
(07/03/07 22:46:00)   94.660   94.665
(07/03/07 22:48:00)   94.660   94.665
(07/03/07 22:50:00)   94.660   94.665
(07/03/07 22:52:00)   94.660   94.665
(07/03/07 22:54:00)   94.660   94.665
(07/03/07 22:56:00)   94.660   94.665
(07/03/07 22:58:00)   94.660   94.665
etc....



On 7/3/07, davidr at rhotrading.com <davidr at rhotrading.com> wrote:
> Almost there! You just have to set the barfields; see the example at the
> end of ?blpGetData.
> HTH,
>
> 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
> ticks:
>
> > 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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