blh {RBloomberg}R Documentation

Get Bloomberg Historical Data

Description

This is the primary user-level function for retrieving Bloomberg historical data.

Usage

blp(conn, securities, fields, start_date, end_date = NULL, override_fields = NULL, overrides NULL)

Arguments

conn Connection object
securities A single ticker string or a vector of tickers.
fields A single field string or a vector of field names.
start_date Start date for data retrieved, either as a YYYYMMDD format string or a date object of any class which responds correctly to format().
end_date Optional end date for data retrieved, in the same format as start_date.
override_fields, overrides Override field names and their corresponding values.

Details

Pass either a single security/field or a vector of securities and fields. Objects are converted with .jarray before being passed to the Java wrapper which accesses the Bloomberg API and returns the result.

All dates are passed through the format() function to be converted to Bloomberg's YYYYMMDD date format. You can pass in a string in this format and it will be left alone, or you can pass an object of any date/datetime class which will respond to format().

Overrides which are dates must be passed in "YYYYMMDD" format as per Bloomberg Version 3 API.

Author(s)

Ana Nelson ana@ananelson.com

Examples

# Please consult unit tests for more examples.
## Not run: 
library(RBloomberg)
conn <- blpConnect()

bdh(conn, "GOLDS Comdty", "PX_LAST", "20090101", "20090107")

Sys.setenv(TZ="GMT")
start.date <- as.POSIXct("2009-01-01")
end.date <- as.POSIXct("2009-01-07")

bdh(conn, "GOLDS Comdty", "PX_LAST", start.date, end.date)

bdh(conn, "GOLDS Comdty", "PX_LAST", Sys.Date() - 10)

library(zoo)
result <- bdh(conn, "GOLDS Comdty", "PX_LAST", Sys.Date() - 10)
zoo(result, order.by = rownames(result))

bdh(conn, "GOLDS Comdty", "PX_LAST", Sys.Date() - 366, 
    option_names = "periodicitySelection", option_values = "MONTHLY")

df <- bdh(conn, c("AMZN US Equity", "GOOG US Equity", "MSFT US Equity"), 
    c("PX_LAST", "BID"), start.date, end.date)
df
na.omit(df)

bdh(conn, c("AMZN US Equity"), c("PX_LAST", "BID"), start.date, end.date, 
    always.display.tickers = TRUE)

bdh(conn, c("AMZN US Equity"), c("PX_LAST", "BID"), start.date, end.date, 
    always.display.tickers = TRUE, dates.as.row.names = FALSE)

bdh(conn, "/SEDOL1/2292612 EQUITY", c("PX_LAST", "BID"), "20090401", "20090410")

# We should get NULL back when there's no data...
bdh(conn, "/SEDOL1/2292612 EQUITY", c("PX_LAST", "BID"), "20090405", "20090405")

# To return rows for all requested dates, even when they have no data...
bdh(conn, "/SEDOL1/2292612 EQUITY", c("PX_LAST", "BID"), "20090405", "20090405", 
    include.non.trading.days = TRUE)

# This is equivalent to...
bdh(conn, "/SEDOL1/2292612 EQUITY", c("PX_LAST", "BID"), "20090405", "20090405",
    option_names = c("nonTradingDayFillOption", "nonTradingDayFillMethod"),
    option_values = c("ALL_CALENDAR_DAYS", "NIL_VALUE"))

# Consult API documentation for other available option values.
bdh(conn, "/SEDOL1/2292612 EQUITY", c("PX_LAST", "BID"), "20090405", "20090405",
    option_names = c("nonTradingDayFillOption", "nonTradingDayFillMethod"),
    option_values = c("ALL_CALENDAR_DAYS", "PREVIOUS_VALUE"))

blpDisconnect(conn)

## End(Not run)

[Package RBloomberg version 0.4-144 Index]