[R-SIG-Finance] Intraday data with RBloomberg
Ian Seow
ianseow at gmail.com
Sat Jul 7 02:11:22 CEST 2007
Hi Robert, this definitely works for me! 'BEST_BID' worked like a
charm, thank you so much.
Another point of curiousity... I am currently trying to build a model
in R which uses bloomberg price feeds (minute data) to obtain buy/sell
orders and execute them via an electronic trading platform API. I've
done something similar successfully using daily data, but this is the
first time I'm doing this on an intraday basis. My main worry is in
the time lag I've been observing when getting the bloomberg feeds
(this lag is present, regardless of whether I'm using VBA or
RBloomberg)...
Could anyone with similar experiences give me some advice? Or perhaps
I should rethink the system architecture altogether, or perhaps use
another price feed more suited for this purpose?
Regards
Ian Seow
On 7/6/07, Robert Sams <robert at sanctumfi.com> wrote:
> 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
> >
> > _______________________________________________
> > R-SIG-Finance at stat.math.ethz.ch mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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>
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