[R-SIG-Finance] precision of data download in rbbg/rbloomberg

[Whit Armstrong]

So, as JL was saying, in this case, implementation speed isn't the issue.

Before someone makes a fuss about re-inventing the wheel...

The thinking behind the c++ version is that as much as I love Java (ha
ha), we need to use this in ruby, so the c++ bit will eventually be
generalized into something independent from this R package.

One of the bigger issues to deal with is a c++ implementation of
DataFrames.  It's a bit of a pain in the ass.

Anyway, the link is here if anyone wants to experiment.  I've set this
up to compile on linux, but I haven't done anything about Windows, so
you're on your own if you want that to work.

https://github.com/armstrtw/Rblpapi

-Whit

On Fri, Apr 19, 2013 at 9:05 AM, John Laing <john.laing at gmail.com> wrote:
> Jeff is right, Rbbg's result processing is not, shall we say, optimized.
> Whit Armstrong has been working on a more lightweight C++-based interface
> to Bloomberg that is also more graceful with its data type handling. I
> don't think he's released it publicly yet.
>
> But in this case his version is roughly the same speed as Rbbg. I think the
> slowness is on Bloomberg's side.
>
> -John
>
>
> On Fri, Apr 19, 2013 at 8:52 AM, Jeff Ryan <jeff.a.ryan at gmail.com> wrote:
>
>> Aidan,
>>
>> There is an awful lot of additional processing happening inside of bdh in
>> terms of data extraction/manipulation. In the past I've extracted out the
>> important .java type calls and return types to get substantial speed-ups,
>> especially when dealing with a common/more constrained search (e.g. one
>> name at a time)
>>
>> Of course, YMMV
>>
>> Best,
>> Jeff
>>
>>
>> On Fri, Apr 19, 2013 at 7:34 AM, Aidan Corcoran
>> <aidan.corcoran11 at gmail.com>wrote:
>>
>> > hi John,
>> >
>> > thanks for your reply. my results were:
>> >  user  system elapsed
>> >    1.00    0.06    6.43
>> >
>> > This is using win7 64bit, 12gb of RAM. I get roughly 6mbps download speed
>> > from the internet where I am in case that has any bearing.
>> >
>> > The speed is probably not bad, I just wanted to make sure I wasn't
>> missing
>> > an easy option to get a bit more speed.
>> >
>> > Thanks for your help!
>> >
>> >
>> > On Fri, Apr 19, 2013 at 12:04 PM, John Laing <john.laing at gmail.com>
>> wrote:
>> >
>> > > Aidan,
>> > >
>> > > I don't think the Bloomberg API offers such an option. However, I also
>> > > don't think that precision is a big cause of slowness. Can you send a
>> > > sample query to demonstrate your issue? E.g.:
>> > >
>> > > > system.time(ty1 <- bdh(conn, "TY1 Comdty", "PX_LAST",
>> > > start_date=as.Date("1900-01-01"), end_date=Sys.Date()))
>> > >    user  system elapsed
>> > >   0.428   0.024   2.772
>> > > > dim(ty1)
>> > > [1] 7795    2
>> > >
>> > >
>> > > -John
>> > >
>> > >
>> > > On Fri, Apr 19, 2013 at 3:52 AM, Aidan Corcoran <
>> > > aidan.corcoran11 at gmail.com> wrote:
>> > >
>> > >> hi folks,
>> > >>
>> > >> I was wondering if it is possible to limit the precision of the data
>> > being
>> > >> downloaded via the bdh function in rbbg, in the interest of speed. I
>> > >> haven't seen any mention of such an option but thought I would ask
>> just
>> > in
>> > >> case I missed something.
>> > >>
>> > >> thanks in advance
>> > >> Aidan
>> > >>
>> > >>         [[alternative HTML version deleted]]
>> > >>
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>> > >
>> > >
>> >
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>> > _______________________________________________
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>>
>>
>>
>> --
>> Jeffrey Ryan
>> jeffrey.ryan at lemnica.com
>>
>> www.lemnica.com
>>
>> R/Finance 2013: Applied R in Finance
>> May 17, 18 Chicago, IL
>> www.RinFinance.com
>>
>>         [[alternative HTML version deleted]]
>>
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