[R-SIG-Finance] RBloomberg warning message

Bengoechea Bartolomé Enrique (SIES 73) enrique.bengoechea at credit-suisse.com
Thu Jul 9 12:25:46 CEST 2009


One thing I do when requesting much data from Bloomberg is to split it into "lots": instead of a big request, several smaller requests that are then aggregated in R. I've found that big requests tend to fail, and that individual requests (say, ticker-per-ticker) tend to be too slow. Somewhere in-between provides the best solution to me. I have this built-in into my own library to access Bloomberg, with user-definable lot size. Don't know whether such a feature is available in RBloomberg.



Message: 2
Date: Wed, 8 Jul 2009 13:37:39 +0200
From: Sergey Goriatchev <sergeyg at gmail.com>
Subject: Re: [R-SIG-Finance] RBloomberg warning message
To: nelson.ana at gmail.com, r-sig-finance at stat.math.ethz.ch
	<7cb007bd0907080437o7d98613cm62f7ab0a059a2c7f at mail.gmail.com>
Content-Type: text/plain; charset=ISO-8859-1

Hi, Ana,

Thank you for answering.
In each load I download only numerical data (prices), I am not combining different types of data.
I use retval="zoo", because I find it most useful for my purposes.
Moreover, I've tried "data.frame" before and there were problems with this setting for retval.
I cannot provide an example script, firstly because it is proprietary, secondly, because it is very long, and thirdly, because providing something illustrative is difficult as the problem pops up in different places (I call blpGetData many times in the script and at different places) or not at all sometimes!

Since I load daily data for last 5 years and for up to 30 instruments sometimes, I think the load size may be responsible. But then only partly, because the same problem pops up when I load 4 years of daily data for just one ticker. Also the problem does not always pop up when I load data for 30 tickers at the same time.

Maybe it is some kind of function overload? Before I used to connect at the beginning of the script, get some data, process it, output results, get some more data, etc... without disconnecting after each data retreival call. From today I connect-retreive-disconnect-process-connect-...

Basically, I am not sure why the problem pops up from time to time.

Kind Regards,

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?

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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