[R-SIG-Finance] RBloomberg - how to extract partial days
eugene at tyurin.com
Thu Jun 10 21:53:06 CEST 2010
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
Does anybody know of a _proper_ way to accomplish this?
Thanks in advance!
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