Sarbo, thank you for your answer. 

1) You don't really need to include "LAST_PRICE" as the argument for "barfields". Actually, you don't really need to specify anything there at all.

If I don't specify anything, i.e. if I just write:

> AUD2 <- blp(conn, "AUD Curncy", fields = "LAST_PRICE", start ="2009-12-15 00:00", end = "2010-01-18 23:59", barsize=5, retval="zoo")
> head(AUD2)

I will receive the following, which contains more information than I wanted, but actually not the "close bar" (the close bar column contains N/A - another strange thing...):

                    LAST_PRICE.OPEN LAST_PRICE.HIGH LAST_PRICE.LOW LAST_PRICE.LAST_TRADE LAST_PRICE.NUMBER_TICKS LAST_PRICE.VOLUME
2009-12-14 23:00:00        0.915705        0.915705       0.915400                    NA                    1127                 0
2009-12-15 00:05:00        0.915450        0.916075       0.915450                    NA                    1183                 0
2009-12-15 00:10:00        0.916005        0.916185       0.915998                    NA                     746                 0
2009-12-15 00:15:00        0.916160        0.916530       0.916000                    NA                    1230                 0
2009-12-15 00:20:00        0.916200        0.916307       0.916135                    NA                    1021                 0
2009-12-15 00:25:00        0.916188        0.916350       0.916095                 NA                    1271                 0

2) It's probably because there was no data available for 2009-12-15
00:00. You're looking at 5-minute intervals of data. My guess is that
either Bloomberg's servers didn't record the data between 2009-12-14
23:00 and 2009-12-15 00:00. It's not that big a deal unless you're actually planning to trade using that data.
No there is data there, and I am pretty sure the data is correct but the time stamp received is displaced by one hour for some reason:

> head(AUD)
                        LAST
2009-12-14 23:00:00 0.915447
2009-12-15 00:05:00 0.916005
2009-12-15 00:10:00 0.916167
2009-12-15 00:15:00 0.916200
2009-12-15 00:20:00 0.916188
2009-12-15 00:25:00 0.916265

>
AUD_lag <- blp(conn, "AUD Curncy", fields = "LAST_PRICE", start
="2009-12-14 00:00", end = "2010-01-18 23:59", barsize=5, barfields= "
LAST_PRICE", retval="zoo")
> AUD_lag <- as.xts(AUD_lag)

> AUD_lag["2009-12-15 00:00:00"]
           LAST_PRICE. LAST_PRICE
2009-12-15               0.915447

> AUD_lag["2009-12-14 23:00:00"]
                    LAST_PRICE. LAST_PRICE
2009-12-14 23:00:00               0.915585

So I could probably force the change of time stamp to 2009-12-15 00:00:00 but that would be the same as assuming that there is a bug in RBloomberg. Given that this should be such a basic function, I would be surprised if this was a bug. It is more probable this is a config issue. But as a total newbie I struggle to see from where this comes.

You'd probably be better off using the blpGetData function instead. It's
a wrapper function and more generic to boot.
Running blpGetData() I receive the following:
> blpGetData is deprecated, please update your code to call blp() instead. blpGetData will be removed in an upcoming version of RBloomberg.
So my understanding is the blp() is what shoudl be used. The package used is 'http://R-forge.R-project.org/bin/windows/contrib/2.10/RBloomberg_0.2-2.zip'

===============
David, I agree the space is a strange error. Look at the two outputs belows:

# This is with space:

> AUD <- blp(conn, "AUD Curncy", fields = "LAST_PRICE", start ="2009-12-15 00:00", end = "2010-01-18 23:59", barsize=5, barfields= " LAST_PRICE", retval="zoo")
> head(AUD)
                    LAST_PRICE. LAST_PRICE
2009-12-14 23:00:00               0.915447
2009-12-15 00:05:00               0.916005
2009-12-15 00:10:00               0.916167
2009-12-15 00:15:00               0.916200
2009-12-15 00:20:00               0.916188
2009-12-15 00:25:00               0.916265

# Now if I try without the space:

> AUD <- blp(conn, "AUD Curncy", fields = "LAST_PRICE", start ="2009-12-15 00:00", end = "2010-01-18 23:59", barsize=5, barfields= "LAST_PRICE", retval="zoo")
Error in blp(conn, "AUD Curncy", fields = "LAST_PRICE", start = "2009-12-15 00:00",  : 
  barfields must be one or more of  OPEN, HIGH, LOW, LAST_PRICE, VOLUME, NUMBER_TICKS


=======================
Any help appreciated! Thanks in advance.










      
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