can't you use some of the xts functions to select a range treat that as some
boolean column, which you can then use to get the data?
I'd check the subsetting section in the xts documentation ...

On Thu, Jun 10, 2010 at 9:53 PM, Eugene Tyurin <eugene@tyurin.com> wrote:

> I am trying to extract time series out of RBloomberg that would
> contain multiple days and certain hours within each day.
>
> Right now I request all of intra-day bars and then remove the parts I
> don't need. It is not very efficient, to say the least, because I
> can't figure out a way to vectorize the operation. :-(
>
> Making multiple requests to blpGetData is even less efficient.
>
> I tried to make blpGetData accept a series of start/end points, without
> success:
>
> dd <- seq.dates("6/1/2010","6/9/2010")
> edc <- blpGetData(conn,"CLN0
>
> Comdty","BEST_BID",start=chron(dd,"10:00:00"),end=chron(dd,"10:30:00"),"OPEN",barsize=2,retval="zoo")
>
> Does anybody know of a _proper_ way to accomplish this?
>
> Thanks in advance!
>
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-- 
Kind regards,
Ulrich B. Staudinger

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