na.action="bloomberg.handles" will leave out any bars with no data.
I don't see a way to get just trading days but take fill action (prev or na) if there is no data for a bar on a trading day. This is the same in the API. The periodicity parameter doesn't make sense in this context. David L. Reiner Rho Trading Securities, LLC Chicago IL 60605 312-362-4963 -----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Shubha Vishwanath Karanth Sent: Monday, November 13, 2006 9:39 AM To: r-help@stat.math.ethz.ch Subject: [R] Fetching Intraday data from Bloomberg Hi Everyone. I am downloading intraday Bloomberg data from R. The code I give is: library(zoo) library(chron) library(RBloomberg) conn<-blpConnect(show.days="trading",na.action="previous.days",periodici ty="daily") dat<-blpGetData(conn, "VG1 Index", c("LAST_PRICE"), start=as.chron(as.Date("2006-9-01", "%Y-%m-%d")),barfields="OPEN", barsize=10,retval="data.frame") blpDisconnect(conn) write.table(dat,"Z:\h1.csv",sep=",",row.names=F,col.names=T) Now, though I give show.days="trading", in the above code, my intraday downloads also have Saturdays and Sunday data (non-active days). Why is this so? Is it not updated in R? Note that this happens only for intraday downloads and not for the usual historical downloads where time is not considered. Please answer me ASAP... Thanks in advance. [[alternative HTML version deleted]] ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
