[R-SIG-Finance] RBloomberg - how to extract partial days

[Eugene Tyurin]

I am trying to extract time series out of RBloomberg that would
contain multiple days and certain hours within each day.

Right now I request all of intra-day bars and then remove the parts I
don't need. It is not very efficient, to say the least, because I
can't figure out a way to vectorize the operation. :-(

Making multiple requests to blpGetData is even less efficient.

I tried to make blpGetData accept a series of start/end points, without success:

dd <- seq.dates("6/1/2010","6/9/2010")
edc <- blpGetData(conn,"CLN0
Comdty","BEST_BID",start=chron(dd,"10:00:00"),end=chron(dd,"10:30:00"),"OPEN",barsize=2,retval="zoo")

Does anybody know of a _proper_ way to accomplish this?

Thanks in advance!