[R-SIG-Finance] Question regarding Tick Data

[Ulrich Staudinger]

Well, when you have a BB terminal, it's definitely better to reuse this 
than spending money on getting the data directly from the exchange or 
any other third party provider. Also mind that there, afaik, no R 
packages readily available to fetch data from any of the exchanges .....

Am 27.07.2010 23:04, schrieb 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
>>
>> ----------------------------------------------------------------------
>> This message w/attachments (message) is intended solely ...{{dropped:7}}
>>
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