[R-SIG-Finance] HELP: Problem with RBloomberg blp intraday data

[John Laing]

Michael,

It is helpful if you provide information about the version of R and
various packages that you are running. The sessionInfo() function is
an excellent way to do that.

The timeout argument to blpConnect was eliminated in early 2010, so I
assume your version of RBloomberg is very old. There are now several
recent threads on this list about how to upgrade and the dependencies
involved. I recommend you read some of these.

In the current RBloomberg what you're trying to do is pretty straightforward:

library(RBloomberg)
conn <- blpConnect()
trades <- bar(conn, "AGS BB Equity", "TRADE", "2011-09-12
08:00:00.000", "2011-09-12 16:30:00.000", "1")

Hope that helps,
John

On Thu, Nov 24, 2011 at 5:45 AM, Benjamin, Michael
<Michael.Benjamin at bernstein.com> wrote:
> Hello
>
> I am trying to download some intraday data, the number of ticks over a time range.  Packages installed are "package:RBloomberg" and "package:RDCOMClient".
>
> The data request is for the number of ticks over a date range using
>
> conn<-blpConnect(timeout=120000,show.days="week",na.action="na",periodicity="daily")
> blp(conn, "AGS BB EQUITY",fields=c("LAST_PRICE"),start="2011-09-12 08:00",end="2011-09-12 16:30",barsize=510, barfields="NUMBER_TICKS")
>
> which returns the number 3574.  When passing the argument fields=c("BID") or fields=c("ASK") the number of bid or ask ticks returns <NA>.
>
> blp(conn, "AGS BB EQUITY",fields=c("BID"),start="2011-09-12 08:00",end="2011-09-12 16:30",barsize=510, barfields="NUMBER_TICKS")
> blp(conn, "AGS BB EQUITY",fields=c("ASK"),start="2011-09-12 08:00",end="2011-09-12 16:30",barsize=510, barfields="NUMBER_TICKS")
>
> The issue is this is not consistent behavour with other stocks, for example, for EBS AV EQUITY the BID, ASK LAST_PRICE number of ticks is
> 33800, 33800,2232
>
> Has anyone got any idea why this happens or if there is a way to resolve it?
>
> Best regards
>
> Michael
>
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