I'm looking for a way to extract all the bids for multiple series over a certain time frame from Bloomberg using the Rbbg package.
My code currently looks like this:
bids = tick(conn, paste(colnames(prices), " SJ EQUITY",sep = ""), "BID",
"2013-11-05 07:00:00.000", "2013-11-05 14:50:00.000")
Where colnames(prices) are all the shares for which I'm trying to extract the bids.
But I get the following error:
Error in .jcall("RJavaTools", "Ljava/lang/Object;", "invokeMethod", cl, :
java.lang.NoSuchMethodException: No suitable method for the given parameters
If I do it for one time series its fine, with the output as follows:
time type value size
2013-11-05T07:00:26.000 BID 26500 1000
2013-11-05T07:00:26.000 BID 26500 1230
2013-11-05T07:00:30.000 BID 26500 1347
2013-11-05T07:00:31.000 BID 26500 1574
2013-11-05T07:00:55.000 BID 26501 299
Sorry, I tried, but I don't know how to make the columns match up in the above output.
Any help would be greatly appreciated, as I've been stuck for quite some time.
Ok, so the following allows me to extract tick by tick bids/asks/trades from Bloomberg for multiple securities at once, where the columns of "prices" contains my share names:
for (i in 1:length(prices)) {
assign(paste("Bids_",colnames(prices)[i],sep=""),
tick(conn, paste(colnames(prices)[i], " SJ EQUITY",sep=""), "BID",
"2013-11-19 07:00:00.000", "2013-11-20 07:50:00.000"))
assign(paste("Asks_",colnames(prices)[i],sep=""),
tick(conn, paste(colnames(prices)[i], " SJ EQUITY",sep=""), "ASK",
"2013-11-19 07:00:00.000", "2013-11-20 14:50:00.000"))
assign(paste("Trades_",colnames(prices)[i],sep=""),
tick(conn, paste(colnames(prices)[i], " SJ EQUITY",sep=""), "TRADE",
"2013-11-19 07:00:00.000", "2013-11-20 14:50:00.000"))
}
This creates a 3 matrices for each of stock: one for the bids, one for asks and one for trades.
Note though, you can only extract data from up to 60 days ago.