[R-SIG-Finance] RBloomberg warning message

[Sergey Goriatchev]

Dear Kent,

Thank you for this suggestion!
In fact, I had a second version of the script, based on Excel files. I
loaded data in excel (manually thru bloomberg excel update functions)
then ran the main script on these files. That never fails to work.
I moved to RBloomberg to automate the process, but if I continue to
get the hiccups then I will consider your way.

Regards,
Sergey

On Thu, Jul 9, 2009 at 03:53, Voss, Kent<VOSSK at kochind.com> wrote:
> Sergey,
>
> 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.
>
> Kent
>
> # 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
> script
> # 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") {
>  library(RBloomberg)
>
>  # 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$size[1] > 20) {
>      validfile = TRUE
>    } else {
>      validfile = FALSE
>    }
>  } else {
>    validfile = FALSE
>  }
>  # If the file exists and the last modified date is today, read it in
>  if((length(Instruments) == 1) & validfile & ((Sys.Date() - mdate[1])
> == 0)) {
>      Data <- read.zoo(file=filename,header=TRUE,format="%Y-%m-%d")
>      Name <- strsplit(Instruments," ")[[1]][1]
>      Data <- zoo(data.frame(Data = coredata(Data)), time(Data))
>      colnames(Data) <- Name
>  } else { # If the file doesn't exist, go out to Bloomberg and get the
> data
>
>    # Variables used for function testing
>  #  Instruments <- c('SPTR Index','MXEA Index','SPGSCITR Index','FNERTR
> Index')
>  #  Field <- "PX_LAST"
>  #  StartDate <- as.Date('2008-1-1', '%Y-%m-%d')
>  #  EndDate <- Sys.Date()
>
>    # Convert the EndDate to a datetime object
>    EndTime <- as.POSIXct(EndDate)
>
>    # Calculate the length in days to get data
>    BBDateLen <- as.numeric(EndDate - StartDate)
>
>    ## Conect to Bloomberg
>    conn <- blpConnect(iface="COM", timeout=12000, show.days=ShowDays,
> na.action=NAaction, periodicity=Periodicity)
>
>    ## Get the historical data
>    Data <- blpGetData(conn, Instruments, Field, start=as.chron(EndTime
> - 86400 * BBDateLen))
>
>    ## Disconnect from Bloomberg
>    blpDisconnect(conn)
>
>    ## Convert it to a zoo object  with the appropriate time/dates
>    Data <- zoo(coredata(Data),as.Date(time(Data),'%m/%d/%y'))
>
>    # Write the data to a file for subsequent retrieval
>    if(length(Instruments) == 1) {
>      Name <- strsplit(Instruments," ")[[1]][1]
>      Data <- zoo(data.frame(Data = coredata(Data)), time(Data))
>      colnames(Data) <- Name
>      write.zoo(Data, file=filename)
>    }
>  } # END if(!is.na(fileinfo$size) & ((Sys.Date() - mdate) == 0)) {
>
>  return(Data)
>
> } #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
> problem?
>
> Regards,
> Ana
>
>
>
> On Tue, Jul 7, 2009 at 3:55 PM, Sergey Goriatchev <sergeyg at gmail.com>
> wrote:
>
>> 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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