[R-SIG-Finance] Problems collecting Intraday data

Dale Smith dsmith at viciscapital.com
Fri Jul 27 14:10:13 CEST 2007

These are known problems with Bloomberg. It's not a problem with R, and
it happens in Excel. Re-run until you get all the prices you need.

Dale Smith
Vicis Capital, LLC
-----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 Vorlow
Sent: Friday, July 27, 2007 7:07 AM
To: r-sig-finance at stat.math.ethz.ch
Cc: samkemp at predictedmarkets.com
Subject: Re: [R-SIG-Finance] R-SIG-Finance Digest, Vol 38, Issue 19


I have some similar problems. I found out that although the code to
download the intra-daily prices ("last price") was ok the data would not
download properly. Sometimes the rBloomberg script would be executed but
no data would be downloaded, sometimes the script would crash and
sometimes would execute properly. The very same script. 

I finally gathered that it has to do with the Bloomberg data stream
response. Sometimes, if you wait for a few seconds and rerun the script,
everything will execute  smoothly.  I even have problems with EXCEL
sometimes. Maybe it has to do with the quality-type of connection with
Bloomberg as well (i.e., if you are behind a firewall etc. etc.).

Could it be and R-(D)COM problem?


Costas Vorlow
Research Economist
Eurobank EFG
Division of Research & Forecasting

tel: +30-210-3337273 (ext 17273)
fax: +30-210-3337687

-----Original Message-----
Message: 1
Date: Tue, 24 Jul 2007 12:34:33 +0100
From: "Samuel Kemp" <samkemp at predictedmarkets.com>
Subject: [R-SIG-Finance] Problems collecting Intraday data
To: <r-sig-finance at stat.math.ethz.ch>
Message-ID: <200707241134.l6OBYbjI001816 at hypatia.math.ethz.ch>
Content-Type: text/plain;	charset="iso-8859-1"


I have been using the blpGetData() function to fetch intraday High and
Low data (10min intervals) i.e.

conn <- blpConnect()
BBCode <- 'VGU7 Index'   # Eurostoxx 50 Futures Sept 07 Contract
Date <- "06/28/07"       # which day
Open <- "07:00:00"	 # from time
Close <- "21:00:00"	 # to time
Interval <- 10		 # time interval between values
dat   <- blpGetData(conn, BBCode, c('LAST_PRICE'),start=as.chron(Date,
Open), end=as.chron(Date,Close),barfields=c('HIGH','LOW'),

However, sometimes it works and then sometimes (using exactly the same
inputs) it does not - I get the following error...

Error in substr(x, as.integer(start), as.integer(stop)) : 
        invalid substring argument(s) in substr()

Does anyone have a solution to this problem and/or explanation?

Many thanks in advance,


p.s. I am not sure if it is relevant but my computer is running XP.

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