[R-SIG-Finance] RBloomberg and "tick"
john.laing at gmail.com
Tue Jan 31 17:47:04 CET 2012
The 290-pager is the one I'm referring to (DOCS 2041121 <GO> for
anyone else interested). The Schemas appendix (A) lays out exact specs
for each request type. You're looking for the eventType field for
IntradayTickRequest on page 120.
On Tue, Jan 31, 2012 at 9:52 AM, Stig Korsnes <stigkorsnes at gmail.com> wrote:
> Ok, thanks. Which developer guide are you reffering to? I have only found
> the 290-pager "Bloomberg API Developer`s Guide for New Libraries" which
> does not list acceptable values (if I have not overlooked), and the field
> finder (FLDS) on the terminal does not list any mnemonic called "TRADE".
> 2012/1/31 John Laing <john.laing at gmail.com>
>> The Bloomberg API Developer guide lists acceptable values. They are
>> not (yet) anywhere in the RBloomberg package. For tick data, you can
>> request: TRADE, BID, ASK, BID_BEST, ASK_BEST, MID_PRICE, AT_TRADE,
>> BEST_BID, BEST_ASK. As far as I'm aware none of these return yield.
>> On Tue, Jan 31, 2012 at 9:10 AM, Stig Korsnes <stigkorsnes at gmail.com>
>> > Is there such a thing as a list of available fields somewhere (for the
>> > tick-func)?
>> > I`m trying to get yields on government securities and swaps, but
>> > on govies "TRADE" returns prices. I can approximate by using RISK/DUR,
>> > but I was hoping there is a field that returns yields instead. "FLDS" on
>> > bloomberg
>> > does not help as mnemonics for realtime fields does not compute with R`s
>> > "tick".
>> > I.e
>> >> tick(pconn,c("912828RR Govt"),c("BID_YLD"),"2012-01-30
>> > 15:00:00.0","2012-01-30 15:05:00.0")
>> > Error in .jcall("RJavaTools", "Ljava/lang/Object;", "invokeMethod", cl,
>> > :
>> > com.bloomberglp.blpapi.InvalidConversionException: Cannot convert
>> > String
>> > to Enumeration
>> > Stig
>> > [[alternative HTML version deleted]]
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