[R-SIG-Finance] RBloomberg rounding price increments to 4 decimals

[Brian G. Peterson]

The first thing to check is your options on R in general.

options(digits=10)

or even 

options(digits=12)

and see if that shows you the data you expect.

I'm not currently using RBloomberg, so I can't check this part of your
problem. 

Regards,

    - Brian



On Mon, 2012-03-19 at 08:44 -0400, G.abe Lin wrote:
> Hi guys,
> 
> I'm using RBloomberg to download OHLC data on futures into my
> environment.  I am porting my trading strategy from a custom framework
> to blotter and quantstrat.
> 
> I immediately noticed that the P&L did not reconcile, and that is
> apparently because of rounding to 4 decimal places on prices
> downloaded using RBloomberg.
> 
> The instruments I am looking at trade in 1/32nds and 1/64ths (+), and
> the 1/64ths are not 4 decimals long -- my prices are essentially
> getting truncated.
> 
> Has anyone dealt with this issue successfully before?  I am looking
> for a way to preserve the integrity of the price downloaded using
> RBloomberg.
> 
> All the code needed to reproduce this is below, thanks.
> 
> > sessionInfo()R version 2.14.1 (2011-12-22)
> Platform: x86_64-pc-mingw32/x64 (64-bit)
> 
> locale:
> [1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
> States.1252    LC_MONETARY=English_United States.1252
> [4] LC_NUMERIC=C                           LC_TIME=English_United
> States.1252
> 
> attached base packages:
> [1] stats     graphics  grDevices utils     datasets  methods   base
> 
> other attached packages:
>  [1] quantstrat_0.6.1             blotter_0.8.4
> stringr_0.6                  timeDate_2131.00
>  [5] PerformanceAnalytics_1.0.3.2 RODBC_1.3-4
> RBloomberg_0.4-150           rJava_0.9-3
>  [9] FinancialInstrument_0.11.3   quantmod_0.3-17
> TTR_0.21-0                   xts_0.8-4
> [13] zoo_1.7-7                    Defaults_1.1-1
> 
> loaded via a namespace (and not attached):
> [1] grid_2.14.1    lattice_0.20-0 plyr_1.7.1     tools_2.14.1
> 
> 
> require(RBloomberg)
> 
> > start_date[1] "20110922"> end_date[1] "20120319"> myInst$identifiers$BB[1] "USM2 Comdty"
> 
> > FLDS <- c("PX_OPEN","PX_HIGH","PX_LOW","PX_LAST")> > rs = bdh(conn,myInst$identifiers$BB,FLDS, start_date = start_date , end_date = end_date)
> 
> 
> rs
> ....
> 
> 2012-03-15 2012-03-15 136.7812 137.0000 135.5625 136.5312
> 2012-03-16 2012-03-16 136.4688 136.6250 135.4688 136.4375
> 2012-03-19 2012-03-19 136.4375 137.0000 136.1250 136.8438
> 
> 
> 
> 
> Don't quit. Suffer now and live the rest of your life as a champion.
> 
>                                                 - Muhammad Ali
> 
> 	[[alternative HTML version deleted]]
> 
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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock