Hi, I'm currently trying to implement an intraday currency model using a
live feed from bloomberg.
I hit the following error when I attempt to download intraday 2 min ticks:

> usdjpy=blpGetData(conn,securities='USDJPY Curncy',fields=c('BID','ASK'),
start=as.chron(Sys.time()-6000), end=as.chron(Sys.time()),barsize=2,
barfields='OPEN')

> usdjpy
                    BID.OPEN ASK.OPEN
(07/03/07 15:01:45)       NA       NA

blpGetData works fine for historical price data and seems to work fine for
commodity futures (e.g. the example above works fine for ED1 Comdty), so I'm
puzzled why this function does not return a result for Curncy. I
double-checked the "USDJPY Curncy" intraday bloomberg API feed in excel and
it works.

Also, is it a good idea in general to avoid implementing such models in R?
Would C/C++ be a better alternative?
Any ideas / insights would be greatly appreciated! Thanks.


Best Regards
Ian Seow

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