[R-SIG-Finance] Question regarding Tick Data

Tue Jul 27 23:24:28 CEST 2010

Thanks for your help, I solved the problem. It was related to date.
As for Whit's question, the desk might not want to pay for a big data when it requires only few  fields, which in my case is true.

Thanks 

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Whit Armstrong
Sent: Tuesday, July 27, 2010 5:21 PM
To: Ulrich Staudinger
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Question regarding Tick Data

Look I understand the convenience of a bbg terminal (I have one
myself), but I just can't imagine that a big place like baml doesn't
have tick data on TY futures stored in an internal DB somewhere.

There is also BBG Datalicense, which delivers the bbg data directly to
your database (well almost directly).  We are a customer. It works as
advertised, and it's not all that expensive.

-Whit

On Tue, Jul 27, 2010 at 5:08 PM, Ulrich Staudinger
<ustaudinger at gmail.com> wrote:
> 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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>>
>> _______________________________________________
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>>
>>
>
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