[R-SIG-Finance] Retrieving Historical Intraday Data with RBloomberg

[davidr at rhotrading.com]

I agree with Sarbo that you should use the higher level function.

But there was data at that time, and I can get it through Excel
and the Bloomberg History Tool.

I'm confused by your seeming necessity to insert a space in the
barfield.

(In the documentation for bar data from Bloomberg in the data wizard,
it looks as if the field should be what they call "Market events"
(Trade, Bid, Ask) and the barfield should be what they call Interval
fields (Open, High, Low, Close, Tick count, Volume).
However the RBloomberg code may wrap these for you.)
You may also want to specify the fill action and value for intervals
with no activity.
(I cannot run RBloomberg to check at this moment.)

David L. Reiner, PhD
Head Quant
XR Trading, LLC


-----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 Kanin
Kaninski
Sent: Saturday, February 06, 2010 6:14 PM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Retrieving Historical Intraday Data with
RBloomberg

As a total newbie in
R, I am struggling to make a few things work. I am wondering if anyone
has experience using RBloomberg to download intraday data.

I am using the following lines and get funky output:

======================================
library(RBloomberg)
conn <- blpConnect()

# Loading currencies
AUD
<- blp(conn, "AUD Curncy", fields = "LAST_PRICE", start ="2009-12-15
00:00", end = "2010-01-18 23:59", barsize=5, barfields= " LAST_PRICE",
retval="zoo")

========================================

> head(AUD)
                     LAST_PRICE. LAST_PRICE
2009-12-14 23:00:00                0.915447
2009-12-15 00:05:00                0.916005
2009-12-15 00:10:00                0.916167
2009-12-15 00:15:00                0.916200
2009-12-15 00:20:00                0.916188
2009-12-15 00:25:00                0.916265

(1) First question is why I need a space before  LAST 

in barfields= " LAST_PRICE"

Took me an hour to debug and still don't understand why this is the
solution

(2)
more
worrisome, why doesn't it start at 2009-12-15 00:00:00 as
instructed but at 2009-12-14 23:00:00. I am not sure the value returned
there belong to this time stamp (i.e I think the value might belong to
2009-12-15 00:00:00 even though the timestamp says 2009-12-14 23:00:00).

Anyone had similar experience? What am I doing wrong here?

Thank you very much in advance.

(This request was also posted on NP)


      
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