Rblpapi (version 0.3.15)

getTicks: Get Ticks from Bloomberg

Description

This function uses the Bloomberg API to retrieve ticks for the requested security.

Usage

getTicks(security, eventType = "TRADE", startTime = Sys.time() - 60 * 60,
  endTime = Sys.time(), verbose = FALSE, returnAs = getOption("blpType",
  "data.frame"), tz = Sys.getenv("TZ", unset = "UTC"),
  con = defaultConnection())

Value

Depending on the value of ‘returnAs’, either a ‘data.frame’ or ‘data.table’ object also containing non-numerical information such as condition codes, or a time-indexed container of type ‘xts’ and ‘zoo’ with a numeric matrix containing only ‘value’ and ‘size’.

Arguments

security

A character variable describing a valid security ticker

eventType

A character variable describing an event, default is ‘TRADE’.

startTime

A Datetime object with the start time, defaults to one hour before current time

endTime

A Datetime object with the end time, defaults to current time

verbose

A boolean indicating whether verbose operation is desired, defaults to ‘FALSE’

returnAs

A character variable describing the type of return object; currently supported are ‘data.frame’ (also the default), ‘data.table’, ‘xts’ and ‘zoo’

tz

A character variable with the desired local timezone, defaulting to the value ‘TZ’ environment variable, and ‘UTC’ if unset

con

A connection object as created by a blpConnect call, and retrieved via the internal function defaultConnection.

Author

Dirk Eddelbuettel

Examples

if (FALSE) {
  res <- getTicks("ES1 Index")
  str(res)
  head(res, 20)
  res <- getTicks("ES1 Index", returnAs="data.table")
  str(res)
  head(res, 20)
}