[R-SIG-Finance] Intraday data with RBloomberg
davidr at rhotrading.com
davidr at rhotrading.com
Fri Jul 6 15:49:46 CEST 2007
Well, I've not given up completely ;-)
I'd forgotten that I DO use Best_Bid for intraday bars, and they say
that for bars, you should use best_bid and best_ask, and last_price.
But for intraday _raw_, it depends on the exchange; Bloomberg help
people suggest requesting both in general and using the one that returns
data (of course if you know which to use, it's simpler to just ask for
the one type.)
(For some reason I can't get RDCOMClient to install correctly in 2.5.0,
hence my frustration, but that's for another thread when I have more
time.)
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: Robert Sams [mailto:robert at sanctumfi.com]
Sent: Friday, July 06, 2007 8:30 AM
To: David Reiner <davidr at rhotrading.com>; Ian Seow
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Intraday data with RBloomberg
David,
"sort of given up"? I'm disappointed in you ;)
Let's look at Ian's original example.
blpGetData(conn,'USDJPY Curncy', c('BID'),
start=as.chron(Sys.time()-3600), barfields='OPEN', barsize=2)
BID.OPEN
(07/06/07 14:02:50) NA
Indeed, this doesn't seem right. A little more transparency:
blpGetData(conn,'USDJPY Curncy', 'BID', start=as.chron(Sys.time()-3600),
barfields='OPEN', barsize=2, retval="raw")
[[1]]
[[1]][[1]]
[[1]][[1]][[1]]
[[1]][[1]][[1]][[1]]
An object of class "COMDate"
[1] 39269.59
[[2]]
[[2]][[1]]
[[2]][[1]][[1]]
[[2]][[1]][[1]][[1]]
[1] "#N/A History"
attr(,"num.of.date.cols")
[1] 1
attr(,"class")
[1] "BlpCOMReturn"
attr(,"securities")
[1] "USDJPY CURNCY"
attr(,"fields")
[1] "BID"
attr(,"barfields")
[1] "OPEN"
>
The existence of a "no available history" Bloomberg error in the return
value of the underlying COM method makes me think that this isn't really
an RBloomberg or RDCOMClient package error.
It's always useful to experiment with different fields.. in a few
minutes I discovered this:
blpGetData(conn,'USDJPY Curncy', 'BEST_BID',
start=as.chron(Sys.time()-3600), barfields='OPEN', barsize=2)
BEST_BID.OPEN
(07/06/07 12:07:00) 123.230
(07/06/07 12:09:00) 123.230
(07/06/07 12:11:00) 123.240
(07/06/07 12:13:00) 123.230
(07/06/07 12:15:00) 123.215
(07/06/07 12:17:00) 123.230
(07/06/07 12:19:00) 123.260
(07/06/07 12:21:00) 123.250
(07/06/07 12:23:00) 123.260
(07/06/07 12:25:00) 123.270
(07/06/07 12:27:00) 123.280
(07/06/07 12:29:00) 123.320
etc..
Does this call work for you Ian?
Now, I don't know why BID does not work but BEST_BID does, but it seems
to me that the answer lies on the Bloomberg API side of things rather
than with RBloomberg. But maybe I'm wrong. Can somebody send me a VBA
snippet that shows a successful call to
GetHistoricalData(Security='USDJPY Curncy', Fields='BID', ... in that
language's binding of the COM interface? If so, it's worth looking into.
I haven't touched the RBloomberg code for well over a year but use it
every day in a trading environment without any problems. I will however
set aside some time over the next week to clean up the code and
incorporate any bug fixes or features that RBloombergers care to submit,
so please keep an eye on cran for an updated version(s).
Cheers,
Robert
-----Original Message-----
From: davidr at rhotrading.com [mailto:davidr at rhotrading.com]
Sent: 05 July 2007 15:56
To: Ian Seow
Cc: r-sig-finance at stat.math.ethz.ch; Robert Sams
Subject: RE: [SPAM] - Re: [R-SIG-Finance] Intraday data with RBloomberg
- Email found in subject
I can verify similar behavior.
I can get the data via VBA behind Excel.
Between versions of Bloomberg and R and the difficulty I seem to have
getting RDCOMClient installed correctly, I have sort of given up on this
approach, unfortunately so, since it seems so useful. I pretty much use
VBA/Excel or C# to generate text files to read into R.
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: Ian Seow [mailto:ianseow at gmail.com]
Sent: Tuesday, July 03, 2007 6:53 PM
To: David Reiner <davidr at rhotrading.com>
Cc: r-sig-finance at stat.math.ethz.ch
Subject: [SPAM] - Re: [R-SIG-Finance] Intraday data with RBloomberg -
Email found in subject
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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