Pull historical intraday data from Bloomberg with R

Question

Got a question about pulling daily historical data released at a given time. I am working stock prices of firms based in different time zones. For each day of the time series I want to pull the price of the stocks released at the same time of the day. My aim is to compare the stock price of a European security at 4pm CEST with the price of an American security at 10am EST (which corresponds to 4pm CEST, indeed).

In order to do so with Bloomberg, I need to import data and select intraday bars, as in the following example:

=BDH("ABLX BB EQUITY","OPEN","06/01/17 09:00","06/30/17 09:05","recurdaily=true","barsz=5","bartp=B")

The formula requests the data at the time specified, between 09:00 and 09:05 (in my timezone). With the option "OPEN” I request the data as close as possible to the start of the bar bucket, which is 09:00. Since this is a 5-minutes time interval, I used "barsz=5". By setting "bartp=B" I request BID price. The option "recurdaily=true" means that I will get recursive data through days, i.e. daily data for the month of June 2017 at around 09:00am.

I have tried hard to translate this formula in R, using Rblpapi, but I couldn’t manage it. I can either get historical data with “bdh” or bar data with “getBar” but I wasn’t able to find a solution that provides me with the same result of the Excel formula written above. Would anyone please help me?

Answer 1

The bdh() function does not retrieve intra-daily history.

But you can try getBars() or getTicks(). The option values you have there may need some extra mapping.

R> es <- getTicks("ESZ7 Index", returnAs="data.table")
R> es
                        pt       date     time  type   value size condcode
    1: 2017-09-26 10:10:37 2017-09-26 10:10:37 TRADE 2494.50   82     TSUM
    2: 2017-09-26 10:10:37 2017-09-26 10:10:37 TRADE 2494.50   82       AS
    3: 2017-09-26 10:10:37 2017-09-26 10:10:37 TRADE 2494.50    9       OR
    4: 2017-09-26 10:10:37 2017-09-26 10:10:37 TRADE 2494.50    2       OR
    5: 2017-09-26 10:10:37 2017-09-26 10:10:37 TRADE 2494.50    1       OR
   ---                                                                    
57110: 2017-09-26 11:10:32 2017-09-26 11:10:32 TRADE 2496.00    5       AS
57111: 2017-09-26 11:10:32 2017-09-26 11:10:32 TRADE 2496.00    5       OR
57112: 2017-09-26 11:10:33 2017-09-26 11:10:33 TRADE 2496.25    1     TSUM
57113: 2017-09-26 11:10:33 2017-09-26 11:10:33 TRADE 2496.25    1       AB
57114: 2017-09-26 11:10:33 2017-09-26 11:10:33 TRADE 2496.25    1       OR
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