[R-SIG-Finance] RBloomberg: Is there a limit to the size of a tick data download?

Cedrick W. Johnson cedrick at cedrickjohnson.com
Thu Jun 10 23:35:33 CEST 2010

I seem to recall a limitation in BLP's API that restricts the amount of 
data downloaded via the API but it was somewhere in the millions for a 
given time period. That's the best I can think of off the top of my 
head, but that *may* not be the problem if you're actually getting data 
each time you make a call...


On 6/10/2010 5:29 PM, Cliff Clive wrote:
> I've been trying to download a full day's worth of tick data for a stock
> using RBloomberg, but for whatever reason it's only giving me a few hours at
> a time.  Here are the commands I'm entering:
>> conn = blpConnect()
>> TICKS = tick(conn, "AMZN Equity", c("TRADE", "BID_BEST", "ASK_BEST"),
>                            "2010-06-09 00:00:00.000", "2010-06-09
> 23:59:59.000")
> When I run this in R, I'm only getting data covering the last few hours of
> my request, from 19:58:00 to 23:58:28.  I've run this several times and each
> time I only seem to get a few hours' worth of data; it's not even the same
> size each time.
> Does anyone know what could be causing this?

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