[R-SIG-Finance] RBloomberg warning message

Voss, Kent VOSSK at kochind.com
Thu Jul 9 03:53:12 CEST 2009


I used to have this exact same problem as well.  I put it down to
Bloomberg just hiccups sometimes (it's not just Rbloomberg, I've had the
problem with calls to their API from other languages as well).

To work around it, I wrote a script that essentially downloads the data
to a local text file the first time you successfully get the data, and
then it doesn't go back to Bloomberg for that day.  So in the morning I
have a dedicated script that just goes out to Bloomberg to get the data
I need, and I re-run that script until it runs without warnings...ie.
until I have all the data I need.  Then I run my analysis script which I
don't have to worry about data not being there.  I am not a programmer,
so the script may look awful, but it does work.  

Hopefully you can customize it to suit your purpose.  Good luck.


# Script (also in attached file)
# Standardized function to simplify downloading Bloomberg data
# The essence of this function is to standardize calls (for me at least)
to Bloomberg
# and also to store retrieved data as a flat file.
# Storing the data as a flat file allows you to run a data retrieval
# multiple times if necessary to ensure all the data is downloaded,
before running the analytics
# Once a data element (Instrument + Field) has been downloaded for the
day, the script will get the
# downloaded data and not go back to Bloomberg.  This ensures that once
you've gotten the data for
# the day, that your analytic script won't bomb out b/c the Bloomberg
retrieval hiccupped.
getBBData <- function(Instruments, Field, StartDate, EndDate=Sys.Date(),
ShowDays="week", NAaction="na", Periodicity="daily") {

  # Set the path and naming convention for files to stor retrieved data
  filename <- paste("c:/blp/data/",Instruments," ",Field,".txt",sep="")

  # Get the file information to see if it exists
  fileinfo <- file.info(filename)
  mdate <- as.Date(strptime(fileinfo$mtime, format="%Y-%m-%d"))

  # If the file exists, move on to the next step to check the datestamp
  if(!is.na(fileinfo$size[1])) {
    if(fileinfo$size[1] > 20) {
      validfile = TRUE
    } else {
      validfile = FALSE
  } else {
    validfile = FALSE
  # If the file exists and the last modified date is today, read it in
  if((length(Instruments) == 1) & validfile & ((Sys.Date() - mdate[1])
== 0)) {
      Data <- read.zoo(file=filename,header=TRUE,format="%Y-%m-%d")
      Name <- strsplit(Instruments," ")[[1]][1]
      Data <- zoo(data.frame(Data = coredata(Data)), time(Data))
      colnames(Data) <- Name
  } else { # If the file doesn't exist, go out to Bloomberg and get the

    # Variables used for function testing
  #  Instruments <- c('SPTR Index','MXEA Index','SPGSCITR Index','FNERTR
  #  Field <- "PX_LAST"
  #  StartDate <- as.Date('2008-1-1', '%Y-%m-%d')
  #  EndDate <- Sys.Date()

    # Convert the EndDate to a datetime object
    EndTime <- as.POSIXct(EndDate)

    # Calculate the length in days to get data
    BBDateLen <- as.numeric(EndDate - StartDate)

    ## Conect to Bloomberg
    conn <- blpConnect(iface="COM", timeout=12000, show.days=ShowDays,
na.action=NAaction, periodicity=Periodicity)

    ## Get the historical data
    Data <- blpGetData(conn, Instruments, Field, start=as.chron(EndTime
- 86400 * BBDateLen))

    ## Disconnect from Bloomberg

    ## Convert it to a zoo object  with the appropriate time/dates
    Data <- zoo(coredata(Data),as.Date(time(Data),'%m/%d/%y'))

    # Write the data to a file for subsequent retrieval
    if(length(Instruments) == 1) {
      Name <- strsplit(Instruments," ")[[1]][1]
      Data <- zoo(data.frame(Data = coredata(Data)), time(Data))
      colnames(Data) <- Name
      write.zoo(Data, file=filename)
  } # END if(!is.na(fileinfo$size) & ((Sys.Date() - mdate) == 0)) {


} #END getBBData <- function(Instruments, Field, StartDate,
EndDate=Sys.Date()) (

-----Original Message-----
From: Ana Nelson [mailto:nelson.ana at gmail.com] 
Sent: Tuesday, July 07, 2009 9:51 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] RBloomberg warning message

Hi, Sergey,

A matrix can only handle 1 kind of data. Everything has to be a numeric,
or everything has to be a string. Are you trying to combine different
types of data?

It might be better to try retval="data.frame".

Otherwise, can you provide an example script which reproduces the


On Tue, Jul 7, 2009 at 3:55 PM, Sergey Goriatchev <sergeyg at gmail.com>

> Hello, everyone
> I have this very long script, where I call blpGetData many times (I 
> get some data, I do some computations, I output results in and Excel 
> file, I call some other data....)
> As the code grew, I started to get the same warning message more and 
> more
> often:
> "Warning message:
> In as.matrix.BlpCOMReturn(x) NAs are introduced by coersion"
> Basically, blpGetData sometimes does not work!
> This message comes up in different parts of the code (in different 
> calls to blpGetData), and since script is very long and runs 
> considerable amount of time, one such error completely messes up the 
> end results.
> Does anyone know why blpGetData sometimes fails to execute?
> Thanks in advance for help!
> Best,
> Sergey
> _______________________________________________
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> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
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