[R] Bloomberg Data Import to R
Hi R-Experts,
Can anyone tell me how Bloomberg data can be directly downloaded to R?
Is there any package?
Sumanta Basak.
---
This e-mail may contain confidential and/or privileged infor...{{dropped}}
__
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
Re: [R] Bloomberg Data Import to R
Hello Sumanto,
your question might be more appropriately been posted to the R-sig-finance
list:
[EMAIL PROTECTED] (I have cc'ed this mail to this list).
To my knowledge neither a function nor a CRAN-package does exist. However,
on the last useR! conference Dirk Edelbuettel presented a proprietary
package that utilised the C API of Bloomberg (type WAPI GO on a Bloomberg
terminal). I am not sure whether Dirk is nowadays inclined or allowed by his
employee to share this package.
As an alternative, you could download data from Bloomberg into Excel, first
(assuming that you are working in a Windows environment) and then load it
into R via RODBC, for example.
Cheers,
Bernhard
Hi R-Experts,
Can anyone tell me how Bloomberg data can be directly downloaded to R?
Is there any package?
Sumanta Basak.
---
This e-mail may contain confidential and/or privileged infor...{{dropped}}
__
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
*
Confidentiality Note: The information contained in this mess...{{dropped}}
__
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
Re: [R] Bloomberg Data Import to R
Hi Sumanta, 1. This messages is much more appropriate for the sig-finance DL instead. Consider signing up (I read up on Amba, so I am sure you have good contributions to make in that forum). 2. To my knowledge, there isn't a direct package. However, if you use Bloomberg's excel plugin, just get the data into excel, save and then bring it in as usual. I suspect that that's what you are doing already. 3. You may have better luck with the S-Plus plugins. I am just getting started (an don't have any support/maintenace contract), so I don't know what all Insightful has up its sleeve, but I talked to Carol Wedekind about this just thing yesterday. Dr. Yollin, who also listens in on the sig-finance list, may be able to advise you better about what exists. With warm regards, Vivek Message: 70 Date: Wed, 8 Feb 2006 15:51:13 +0530 From: Sumanta Basak [EMAIL PROTECTED] Subject: [R] Bloomberg Data Import to R To: r-help@stat.math.ethz.ch Message-ID: [EMAIL PROTECTED] Content-Type: text/plain Hi R-Experts, Can anyone tell me how Bloomberg data can be directly downloaded to R? Is there any package? Sumanta Basak. __ 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
Re: [R] Bloomberg Data Import to R
Check this out:
https://stat.ethz.ch/pipermail/r-sig-finance/2004q3/51.html
You should consider adapting it with rcom instead of RDCOMClient
Neuro
From: Sumanta Basak [EMAIL PROTECTED]
To: r-help@stat.math.ethz.ch
Subject: [R] Bloomberg Data Import to R
Date: Wed, 8 Feb 2006 15:51:13 +0530
Hi R-Experts,
Can anyone tell me how Bloomberg data can be directly downloaded to R?
Is there any package?
Sumanta Basak.
---
This e-mail may contain confidential and/or privileged infor...{{dropped}}
__
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
__
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
RE: [R] Bloomberg data import SOLVED
Together with Enrique's running start and Prasad's work, we figured out how to get tick data and bulk data from Bloomberg into R. Here is a code snippet which builds on Enrique's. require(RDCOMClient) blCon - try(blCon - COMCreate(Bloomberg.Data.1), silent=TRUE) # Always check the class of blCon before proceeding! # First tick data ticker - IBM US Equity fields - c(Last Price,Volume) comFrom - new(COMDate,38442.458333) comTo - new(COMDate,38442.58247696760) z - as.integer(0) histData - try(blCon$BLPGetHistoricalData(Security=ticker, Fields=fields, StartDate=comFrom, EndDate=comTo, BarSize=z)) # Notes: # Passing in just a 0 instead of an int 0 (as z) crashes Rgui # For tick data, only one ticker is allowed in each call. # Beware of asking for a long date range; tick data can be very voluminous. # I'm sure someone can do some R-magic to fix my start and end datetimes (please!) # Bulk data is just like getting prices, except for the return object being more complex tickers - c(TYM5 Comdty, USM5 Comdty) fields - c(FUT_DELIVERABLE_BONDS, FUT_DLVRBLE_BNDS_CUSIPS) bulkData - try(blCon$BlpSubscribe(Security=tickers, Fields=fields)) Note that my original idea about GetHistoricalData was wrong since that isn't a function. (At least I couldn't get it to work.) As a last note, it would be very nice if RDCOMClient were directly available from CRAN so we could use install.packages, etc. (hint, hint!) Enjoy, David L. Reiner p.s. I know cross-posting is discouraged, but I thought some people might be looking for this information on r-sig-finance someday. __ 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
RE: [R] Bloomberg data import
Pasad, I think GetHistoricalData might work for tick data. (At least it does from VB and VBA.) HTH, David L. Reiner p.s. Static data was mentioned, and that you get with Subscribe. -Original Message- From: Chalasani, Prasad [mailto:[EMAIL PROTECTED] Sent: Thursday, March 24, 2005 3:10 PM To: r-help@stat.math.ethz.ch Subject: RE: [R] Bloomberg data import 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: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Dirk Eddelbuettel Sent: Thursday, March 24, 2005 3:00 PM To: r-help@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 __ 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 __ 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 __ 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
[R] Bloomberg data import
Dear R Folks, 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. If someone is willing to share their code to get Bloomberg data into R, that would be extremely appreciated. Regards, Prasad __ 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
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 __ 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
RE: [R] Bloomberg data import
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: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Dirk Eddelbuettel Sent: Thursday, March 24, 2005 2:24 PM To: r-help@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 __ 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 __ 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
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 __ 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
RE: [R] Bloomberg data import
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: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of Dirk Eddelbuettel Sent: Thursday, March 24, 2005 3:00 PM To: r-help@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 __ 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 __ 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
