[R-SIG-Finance] RBloomberg: Is there a limit to the size of a tick data download?
nelson.ana at gmail.com
Fri Jun 18 18:39:22 CEST 2010
Latest revision r141 should fix this, can you try it out and let me
know if it works for you?
On Mon, Jun 14, 2010 at 4:50 PM, Cliff Clive <cliffclive at gmail.com> wrote:
> Thanks again Ana.
> As always, I appreciate the hard work you're putting into maintaining
> this package.
> On Mon, Jun 14, 2010 at 9:59 AM, Ana Nelson [via R]
> <ml-node+2254506-1815688372-241286 at n4.nabble.com> wrote:
>> 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 <[hidden email]> wrote:
>>> Thanks for the input Cedrick. I don't think it's a problem with
>>> 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
>>> solution yet, but hopefully this will add some clarity for anyone
>>> 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
>>> 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
>>> 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.
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