In terms of concrete advice, I would definitely recommend going to WAPI <GO>
on the Bloomberg terminal and checking out the different SDK's they have
available for developing your own data interface. This is what we did on my
desk, using their C# API to store historical and intraday data. I then used
some simple RODBC code to access data by ticker from R from our SQL servers.


Best of luck,
David Rodriguez


On 7/6/07, Adrian Trapletti <a.trapletti@swissonline.ch> wrote:
>
> Just my 2 cents: It might be more useful to split the data part from the
> analysis or trading or whatever part. In the first step, data is
> received and stored in a database. Typically a C/C++ or Java application
> receives data and saves it in a database. In a second step,
> applications, e.g., R, may access the data through the database, either
> access historical data or data in realtime. If well designed, the delay
> of receiving data in realtime through the database instead of a direct
> connection is negligible. And you gain a lot of flexibility with this
> design.
>
> Best regards
> Adrian
>
> > ------------------------------
> >
> > Message: 2
> > Date: Thu, 5 Jul 2007 10:54:02 -0500
> > From: Dirk Eddelbuettel <edd@debian.org>
> > Subject: Re: [R-SIG-Finance] [SPAM] - Re: Intraday data with
> >     RBloomberg    -    Email found in subject
> > To: <davidr@rhotrading.com>
> > Cc: r-sig-finance@stat.math.ethz.ch, Ian Seow <ianseow@gmail.com>
> > Message-ID: <18061.5146.455992.808579@basebud.nulle.part>
> > Content-Type: text/plain; charset=us-ascii
> >
> >
> > On 5 July 2007 at 09:56, davidr@rhotrading.com wrote:
> > | I can verify similar behavior.
> > | I can get the data via VBA behind Excel.
> > | Between versions of Bloomberg and R and the difficulty I seem to have
> > | getting RDCOMClient installed correctly, I have sort of given up on
> > this
> > | approach, unfortunately so, since it seems so useful. I pretty much
> use
> > | VBA/Excel or C# to generate text files to read into R.
> >
> > Well, the C/C++ code I wrote two employers ago, and which is hence still
> > owned by that firm and hence no shareable, worked pretty well.
> >
> > It shouldn't take too long to rewrite this, starting from the
> > Bloomberg C API
> > examples. As I don't currently use or need Bloomberg, I can't help.
> > Maybe
> > somebody else can though.
> >
> > Dirk
>
>
> --
> Adrian Trapletti
> Wildsbergstrasse 31
> 8610 Uster
> Switzerland
>
> Phone :   +41 (0) 44 9945630
> Mobile :  +41 (0) 76 3705631
>
> Email :   a.trapletti@swissonline.ch
>
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