[R-SIG-Finance] Question regarding Tick Data

[Whit Armstrong]

I'm sure you have to make due with what  you can, but tick data from
BBG?  Doesn't ML have a better source (direct from the exchange
perhaps)?

-Whit


On Tue, Jul 27, 2010 at 3:42 PM, Gandhi, Puneet - RSCH AMRS
<p.gandhi at baml.com> wrote:
>
>
> I tried multiple things.
>
> This command worked very well
> a = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000",
> "2010-07-20 22:00:00.000" )
>
> But this doesn't include all the data
>
> The excel equivalent which gives all the data I need is
>
> =BDH($A$1,"TRADE","7/27/2010 9:00:00
> AM","","Dir=V","Dts=S","Sort=A","IntrRw=True","CondCodes=H","QRM=S","Exc
> hCode=H","BrkrCodes=H","RPSCodes=H","cols=4;rows=20477")
>
> I did some testing and "QRM=S" helps me get this extra data.If I remove
> QRM="S" then that data vanishes
>
> Now, I tried
> b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000",
> "2010-07-20 22:00:00.000",option_names = "includeQRMCodes",
> option_values = "TRUE")
>
> b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000",
> "2010-07-20 22:00:00.000",option_names = "includeQRM", option_values =
> "TRUE")
> b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000",
> "2010-07-20 22:00:00.000",option_names = "QRM", option_values = "S")
> b = tick(conn, "TYA COMDTY", "TRADE", "2010-07-20 07:00:00.000",
> "2010-07-20 22:00:00.000",QRM="S" )
>
> None of these work.
>
> Thanks
>
> -----Original Message-----
> From: Brian G. Peterson [mailto:brian at braverock.com]
> Sent: Tuesday, July 27, 2010 11:06 AM
> To: Gandhi, Puneet - RSCH AMRS
> Subject: Re: [R-SIG-Finance] Question regarding Tick Data
>
> On Tue, 2010-07-27 at 10:50 -0400, Gandhi, Puneet - RSCH AMRS wrote:
>> Hi
>>
>> I was successfully able to download tick data from Bloomberg using the
>> tick command as described in the rbloomberg help manual. But to get
> all
>> the data I need to pass an option QRM ="S". I saw this option in Excel
>> but when I am unable to use it in Rbloomberg.
>> This options adds some extra Trade data in the regular Tick data. This
>> extra data is missing by default.
>
> Please reply to your *list* posting with a reproducible code example.
> What commands did you try?
> You said one command worked... what was it?
> You said one failed.... what was that?
> What happened when you tried it?
>
> --
> Brian G. Peterson
> http://www.braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
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