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

Ana Nelson nelson.ana at gmail.com
Mon Jun 14 16:55:14 CEST 2010


This looks like a bug in RBloomberg. I'll fix it in the next release,
in the mean time I suggest you batch your requests into smaller
increments (try 2 hours) and combine the results.


On Fri, Jun 11, 2010 at 12:12 AM, Cliff Clive <cliffclive at gmail.com> wrote:
> Thanks for the input Cedrick.  I don't think it's a problem with Bloomberg's
> data limit, though; the files I've been getting have only been around
> 100-200 KB.
> I've played with it a bit more, and here's what I've found.  I don't have a
> solution yet, but hopefully this will add some clarity for anyone interested
> in understanding my situation.
> To get a full day of data I wrote a loop that called for tick data in 5
> minute intervals throughout all of the hours of the trading day, and
> aggregated all of the downloads into one table.  It's not a pretty solution,
> but it works... sort of.
> My new problem is, even within small intervals, I've found that it's only
> downloading ticks for about half of the interval (roughly the first 2 1/2
> minutes of each 5 minute interval).  In fact my aggregated table is about
> the same size of file as my attempt to download the full day in one shot,
> making me think that I'm losing the same proportion of my data set each
> time, regardless of the size of the time interval.  But that's just a
> hypothesis; I still don't know what is really going on.
> I'm wondering whether the problem is with R or if it's with Bloomberg.
> Maybe I'm trying to download at a busy time of day.  I'll set up my program
> to run late tonight and see if it works any better.
> In the mean time, if anyone does have any suggestions, I would greatly
> appreciate them.
> Thanks,
> CC
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