[R-SIG-Finance] RBloomberg: loading Futures Tickers: how?

Robert Sams robert at sanctumfi.com
Fri Mar 13 10:46:58 CET 2009


Hi Sergey,

Is this what you need?

> unlist(blpGetData(conn, c("ED1 COMDTY","GC1 COMDTY","TY1 COMDTY","SP1
COMDTY"),"FUT_CUR_GEN_TICKER", retval="raw"))
[1] "EDH9" "GCJ9" "TYH9" "SPH9"

The use of retval="raw" is a work-around as this is a bug. The bug is
fixed in the beta 0.2 version on r-forge
http://r-forge.r-project.org/projects/rbloomberg/

blp(c("ED1 COMDTY","GC1 COMDTY","TY1 COMDTY","SP1 COMDTY"),
"FUT_CUR_GEN_TICKER")
           FUT_CUR_GEN_TICKER
ED1 COMDTY               EDH9
GC1 COMDTY               GCJ9
TY1 COMDTY               TYH9
SP1 COMDTY               SPH9
 
Cheers, 
Robert

-----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 Sergey
Goriatchev
Sent: 13 March 2009 07:44
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] RBloomberg: loading Futures Tickers: how?

Hello, everyone

I've been using RBloomberg extensively, but I've only been downloading
price information. I've been using zoo objects for that purpose.
Now, I need to load futures tickers (mnemonic is:
"FUT_CUR_GEN_TICKER"). As it is not numeric, I cannot use zoo,
unfortunately. Also, I decided to separate prices from futures tickers
into two blpGetData runs.
I have discovered that specifying "matrix" or "data.frame" does not work
for loading tickers either. I get an error message: "In
as.matrix.BlpCOMReturn(BLP): NAs are introduced by coersion".
Only retval="raw" works, but then I get a huge list, which I do not know
how to turn into a matrix properly.
Anyone has any suggestions regarding this issue of getting non-numeric
data from Bloomberg?
What I need in the end is to do analysis on both futures price data and
on corresponding tickers data (for futures rolling).

Best,
Sergey

--
I'm not young enough to know everything. /Oscar Wilde Experience is one
thing you can't get for nothing. /Oscar Wilde When you are finished
changing, you're finished. /Benjamin Franklin Tell me and I forget,
teach me and I remember, involve me and I learn.
/Benjamin Franklin
Luck is where preparation meets opportunity. /George Patten

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