[R] Bloomberg data import

[Chalasani, Prasad]

Dirk,
Yes I am aware of your presentation.
Seems to me your approach is different from the one of Enrique Bengoechea:
you use the C API, whereas he uses the bloomberg ActiveX/COM API ( which
requires the RDCOMClient package 
from OmegaHat -- it doesn't work with R2001, so I actually downloaded Thomas
Baier's build of that package ).

I found that with Enrique's approach it's extremely easy to bang together 
R code to grab historical *daily* data from Bloomberg.
However when I tried to extend it to to grab Tick/Intraday data, 
it didn't work. I did look at the Bloomberg ActiveX documentation on 
my Bloomberg screen, and thought I followed their instructions, 
e.g I do ( with slight modification of  Enrique's framework ):

dat <- '2005-03-22'
from.t <- '10:00:00'
to.t <- '11:00:00'
# convert date + time to COM format.
comFrom <- as.comDate.Date(as.Date(dat), from.t)
comTo <- as.comDate.Date(as.Date(dat), to.t)
histData <- try(blCon$BLPGetHistoricalData(Security='IBM US Equity',
Fields="Last_Price",
                        StartDate=comFrom, EndDate=comTo, BarSize=0));

The documentation says that I can get tick data by simply setting BarSize to
0,
and using the appropriate field name -- I tried Last_Price, LAST_TRADE, etc
but to no avail -- I keep getting some kind of exception.

If someone has any hints as to how to get Tick/Intraday data, that would be
nice.


-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Dirk Eddelbuettel
Sent: Thursday, March 24, 2005 2:24 PM
To: r-help at stat.math.ethz.ch
Subject: Re: [R] Bloomberg data import



Prasad,

Chalasani, Prasad <prasad.chalasani <at> gs.com> writes:
> I know that Enrique Bengoechea ( Credit Suisse ) had posted some code 
> snippets for importing Bloomberg historical data into R. I found them 
> to be very useful.
> 
> Has anyone succeeded in getting the below items
> from Bloomberg to R?
> (a) historical economic release data,
> (b) tick/intra-day data
> (c) bulk data such as Index membership info, etc.

Yes, I have a package that can do all of the above. See the presentation at
    http://dirk.eddelbuettel.com/papers/r_lim_bloomberg.pdf

> If someone is willing to share their code
> to get Bloomberg data into R, that would be
> extremely appreciated.

Unfortunately the code belongs to my (former) employer and cannot be shared.

That said, with a modicum of effort and knowledge of C programming, you can
replicate the package based on a) the excellent Bloomberg C Api
documentation and examples, and b) the 'Writing R Extensions' manual, as
well as your choice among the 500+ packages on CRAN for concrete C linkage
examples.  May be worthwhile discussing with your IT group.  

Regards,  Dirk

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