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

[John Laing]

I think it is just the display that is truncating digits. The actual
data stored should contain more precision.

> require(RBloomberg)
> conn <- blpConnect()
> rs <- bdh(conn, "USM2 Comdty", "PX_LAST", start_date = "20110922", end_date = "20120319")
> rs["2012-03-12", "PX_LAST"]
[1] 140.5312
> rs["2012-03-12", "PX_LAST"] == 140.5312
[1] FALSE
> rs["2012-03-12", "PX_LAST"] == 140.53125
[1] TRUE
>

John


On Mon, Mar 19, 2012 at 8:57 AM, Brian G. Peterson <brian at braverock.com> wrote:
> 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
>
> _______________________________________________
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