[R-SIG-Finance] RBloomberg - limit on size of return array?

Phil Joubert philjoubert at yahoo.com
Wed Apr 29 12:27:18 CEST 2009


I'm using RBloomberg to download timeseries data, but I'm getting an error. 

vsTickers <- unlist(blpGetData(oBbgConn, sIndex, "INDX_MEMBERS", retval="raw"))
vsTickers <- paste(vsTickers, "Equity")
dtStart <- chron("31/12/1998", format="d/m/y")
dtEnd <- chron("31/12/2008", format="d/m/y")
vdPrices <- blpGetData(oBbgConn, vsTickers, "PX_LAST", dtStart, dtEnd)

I expect this code to get the TS of the FTSE components over the last 10 years. Instead I get a zoo object with the correct number of columns, but no data, and the warning "In as.matrix.BlpCOMReturn(x) : NAs introduced by coercion".

I suspect the problem is the size of the return array. If I try to get a subset of the data (e.g. vsTickers[1:40] or [40:79], or smaller time frame) I have no problem. If I set retval="raw" the first element is "Error : Exception occurred.\n".

Any ideas? I've tried the same extraction via the VBA, but it just hangs.


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