[R-SIG-Finance] RBloomberg tick data

Ana Nelson nelson.ana at gmail.com
Sat Jul 17 23:20:23 CEST 2010

Make sure you have the most recent version of RBloomberg as this code
has been updated recently.

I haven't done enough testing on this (as it tends to use up one's
daily allowance very quickly). If you request a lot of data at once
and Bloomberg splits this into batches, the Java array will have to be
resized. If you request it in smaller batches, you'll have to stitch
it together in R. I suggest you use trial and error (preferably at the
end of the day so if you run out of allowance it won't matter) and see
what works best on your machine.

You might also consider writing some Java code (or one of the
scripting languages described on findata.org) and write the data to
text files first rather than reading it into R directly.

On Tue, Jun 29, 2010 at 10:25 PM, Geoffrey Smith <gps at asu.edu> wrote:
> Hello, what is the most efficient way to download a large panel of daily
> tick data with RBloomberg?  Is it better to download data for a large number
> of tickers for just one day?  Or is it better to download data for a single
> ticker over many days?  What is the maximum combination of number of tickers
> and number of days before the computer blows up on me (assuming an average
> power desktop pc)?  By way of example, I am looking to download tick data
> for about 500 tickers over about 120 days.  Thank you very much!  Geoff
> --
> Geoffrey Smith
> Visiting Assistant Professor
> Department of Finance
> W. P. Carey School of Business
> Arizona State University
>        [[alternative HTML version deleted]]
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