[R] Bloomberg data import

[Chalasani, Prasad]

Dirk,

the URL for the working binary of RDCOMClient is at the bottom this page:
http://tolstoy.newcastle.edu.au/R/help/04/11/6759.html

it works with my R 2001.


-----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 3:00 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 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.

I don't use ActiveX, so take this with a grain of salt. 

Based on the names of functions in the older C interface, I would conjecture
that the BLPGetHistoricalData() function does not return intra-daily data.
So you may need to find different functions for the intraday data and for
the 
static data you were seeking as well. May be worth a try -- report back here
or on R-SIG-Finance if you succeed.  In any event, whatever you want to put
together for R via (D)COM has to first work in plain VB, no?

Do you have a current URL for the (D)COM code?  I haven't found it ever
since they had to take their server down after it got attacked.

Cheers, Dirk

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