That was the problem, thanks Brian.

On Mon, Mar 19, 2012 at 8:57 AM, Brian G. Peterson <brian@braverock.com>wrote:

> The first thing to check is your options on R in general.
>
> options(digits=10)
>
> or even
>
> options(digits=12)
>
> and see if that shows you the data you expect.
>
> I'm not currently using RBloomberg, so I can't check this part of your
> problem.
>
> Regards,
>
>    - Brian
>
>
>
> On Mon, 2012-03-19 at 08:44 -0400, G.abe Lin wrote:
> > Hi guys,
> >
> > I'm using RBloomberg to download OHLC data on futures into my
> > environment.  I am porting my trading strategy from a custom framework
> > to blotter and quantstrat.
> >
> > I immediately noticed that the P&L did not reconcile, and that is
> > apparently because of rounding to 4 decimal places on prices
> > downloaded using RBloomberg.
> >
> > The instruments I am looking at trade in 1/32nds and 1/64ths (+), and
> > the 1/64ths are not 4 decimals long -- my prices are essentially
> > getting truncated.
> >
> > Has anyone dealt with this issue successfully before?  I am looking
> > for a way to preserve the integrity of the price downloaded using
> > RBloomberg.
> >
> > All the code needed to reproduce this is below, thanks.
> >
> > > sessionInfo()R version 2.14.1 (2011-12-22)
> > Platform: x86_64-pc-mingw32/x64 (64-bit)
> >
> > locale:
> > [1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
> > States.1252    LC_MONETARY=English_United States.1252
> > [4] LC_NUMERIC=C                           LC_TIME=English_United
> > States.1252
> >
> > attached base packages:
> > [1] stats     graphics  grDevices utils     datasets  methods   base
> >
> > other attached packages:
> >  [1] quantstrat_0.6.1             blotter_0.8.4
> > stringr_0.6                  timeDate_2131.00
> >  [5] PerformanceAnalytics_1.0.3.2 RODBC_1.3-4
> > RBloomberg_0.4-150           rJava_0.9-3
> >  [9] FinancialInstrument_0.11.3   quantmod_0.3-17
> > TTR_0.21-0                   xts_0.8-4
> > [13] zoo_1.7-7                    Defaults_1.1-1
> >
> > loaded via a namespace (and not attached):
> > [1] grid_2.14.1    lattice_0.20-0 plyr_1.7.1     tools_2.14.1
> >
> >
> > require(RBloomberg)
> >
> > > start_date[1] "20110922"> end_date[1] "20120319">
> myInst$identifiers$BB[1] "USM2 Comdty"
> >
> > > FLDS <- c("PX_OPEN","PX_HIGH","PX_LOW","PX_LAST")> > rs =
> bdh(conn,myInst$identifiers$BB,FLDS, start_date = start_date , end_date =
> end_date)
> >
> >
> > rs
> > ....
> >
> > 2012-03-15 2012-03-15 136.7812 137.0000 135.5625 136.5312
> > 2012-03-16 2012-03-16 136.4688 136.6250 135.4688 136.4375
> > 2012-03-19 2012-03-19 136.4375 137.0000 136.1250 136.8438
> >
> >
> >
> >
> > Don't quit. Suffer now and live the rest of your life as a champion.
> >
> >                                                 - Muhammad Ali
> >
> >       [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > R-SIG-Finance@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> should go.
>
> --
> Brian G. Peterson
> http://braverock.com/brian/
> Ph: 773-459-4973
> IM: bgpbraverock
>
>


-- 
Gei Lin
207 East 30th St, Apt 4H
New York, NY 10016
Cell: (781) 718-8522

Don't quit. Suffer now and live the rest of your life as a champion.

                                                - Muhammad Ali

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