I would like to import from Bloomberg into R for a specified day the entire option chain for a particular stock, i.e. all expiries and strikes for the exchange traded options. I am able to import the option chain for a non-specified day (today):
bbgData <- bds(connection,sec,"OPT_CHAIN")
Where connection is a valid Bloomberg connection and sec is a Bloomberg security ticker such as "TLS AU Equity"
However, if I add extra fields it doesn't work, i.e.
bbgData <- bds(connection, sec,"OPT_CHAIN", testDate, "OPT_STRIKE_PX", "MATURITY", "PX_BID", "PX_ASK")
bbgData <- bds(connection, sec,"OPT_CHAIN", "OPT_STRIKE_PX", "MATURITY", "PX_BID", "PX_ASK")
Similarly, if I switch to using the historical data function it doesn't work
bbgData <- dateDataHist <- bdh(connection,sec,"OPT_CHAIN","20160201")
I just need the data for one day, but for a specified day, and including the additional fields
Hint: I think the issue is that every field following "OPT_CHAIN" is dependent on the result of "OPT_CHAIN", so for example it is the strike price given the code in "OPT_CHAIN", but I am unsure how to introduce this conditionality into the R Bloomberg query.
It's better to use the field CHAIN_TICKERS and related overrides when retrieving option data for a given underlying from Bloomberg. You can, for example, request points for a given moneyness by getting CHAIN_TICKERS with an override of CHAIN_STRIKE_PX_OVRD equal to 90%-110%.
In either case you need to use the tickers that are the result of your first request in a second request if you want to retrieve additional data. So:
option_tickers <- bds("TLS AU Equity","CHAIN_TICKERS",
overrides=c(CHAIN_STRIKE_PX_OVRD="90%-110%"))
option_prices <- bdp(sapply(option_tickers, paste, "equity"), c("PX_BID","PX_ASK"))