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 ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
