[R-SIG-Finance] [SPAM] - Rbbg(Bloomberg) time zone problem and xtsconstructor - Email found in subject

[David Reiner]

new<-xts(bid[,3:4],order.by=strptime(x=bid$time,format="%Y-%m-%dT%H:%M:%OS")-4*3600)

should work for you (until DST  ends.)
Note that bid$time was already character. Always look to see what you are getting back.
Also, it's considered polite to give the commands you used to get your results so helpers are encouraged to help.

-- David

-----Original Message-----
From: r-sig-finance-bounces at r-project.org [mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Nikos Rachmanis
Sent: Tuesday, May 21, 2013 12:34 AM
To: r-sig-finance at r-project.org
Subject: [SPAM] - [R-SIG-Finance] Rbbg(Bloomberg) time zone problem and xtsconstructor - Email found in subject

Hi all,

I have come across the following time zone problem and I would
appreciate your input.

I am trying to download tick data using the Rbloomberg and I have found
out that the query should be done in "UTC" time zone. My current zone is
"EST" so i have written the code below to transform it from "EST" to
"UTC" and works fine however the output i get is indicated in "UTC" as
listed below for my query (instead of 10:00:00.000).


        time    type    value   size
1       2013-05-13T14:00:00.000         ASK_BEST        454.87  1
2       2013-05-13T14:00:00.000         TRADE   454.58  100
3       2013-05-13T14:00:00.000         ASK_BEST        454.78  10
4       2013-05-13T14:00:00.000         ASK_BEST        454.7   1
5       2013-05-13T14:00:00.000         TRADE   454.58  100
6       2013-05-13T14:00:00.000         ASK_BEST        454.7   1
7       2013-05-13T14:00:01.000         ASK_BEST        454.69  1


My questions are the the following:
1) Is there a way I could write the timezone transformation and get the
correct timing or would I have to change after I download?
2) I have tried to use the xts constructor with the following command
but was not successful. Any idea how to separate the "T" in the time?
new<-xts(bid[,3:4],order.by=strptime(x=as.character(bid$time),format="%Y-%m-%d
%H:%M:%OS",tz="EST"))

Thank you all,

Nikos



#Rbloomberg Code
# Special options
options(warn=-1)
options(digits.secs = 3)
options(java.parameters = "-Xmx1000m")

# Import libraries
library(RODBC)
library(Rbbg)

#set time interval (transforms from 10:00:00.001 to 14:00:00.001)
start_time<-toString(format(as.POSIXct("2013-05-13 10:00:00.001",
tz="EST5EDT"), tz="UTC"))
end_time<-toString(format(as.POSIXct("2013-05-13 10:15:00.001",
tz="EST5EDT"), tz="UTC"))

# Connect to Bloomberg API
conn <-  blpConnect(log.level = "finest")

#Download command
data <- tick(conn, "AAPL US Equity",
              c("TRADE","BID_BEST","ASK_BEST"),
              start_date_time=start_time,
              end_date_time=end_time)

        [[alternative HTML version deleted]]

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