[R-SIG-Finance] RBloomberg - how to extract partial days
Pierre.Lequeux at avivainvestors.com
Pierre.Lequeux at avivainvestors.com
Fri Jun 11 11:19:20 CEST 2010
Would the below do what you need ?
startdate <- "2007-02-28"
barsize <- 30
conn <- blpConnect()
EUR <- blp(conn, "EUR Curncy", fields = "LAST_PRICE", start ="2010-04-30 00:00", barsize = barsize , barfields= "LAST_PRICE", retval="zoo")
conn <- blpDisconnect()
P please don't print this e-mail unless you really need to.
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Ulrich Staudinger
Sent: 11 June 2010 08:26
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] RBloomberg - how to extract partial days
can't you use some of the xts functions to select a range treat that as some boolean column, which you can then use to get the data?
I'd check the subsetting section in the xts documentation ...
On Thu, Jun 10, 2010 at 9:53 PM, Eugene Tyurin <eugene at tyurin.com> wrote:
> 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,
> 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!
> R-SIG-Finance at stat.math.ethz.ch mailing list
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Ulrich B. Staudinger
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