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r – Bloomberg API Quote Recap Monitor

Posted by: admin May 14, 2020 Leave a comment

Questions:

If you type QRM on a Bloomberg Terminal, you can view intraday ETF quotes for a certain period of time (I think it’s 90 days).

Is there a possibility to get these data via the Bloomberg API in a certain time window, say 5 minutes? (Bid/Ask prices)

I tried the intraday version of BLP but I dont know the correct field name. It didn’t work for “Bid”.

How to&Answers:

Yes, you can.

In Excel, go to the Bloomberg tab in the strip, choose Import Data, then Real-Time/Historical, then Historical intraday ticks. The wizard guides you through choosing the date range and which ticks to take.

You can also use Api v3 to get this information, please refer to the developer guide:
http://www.google.co.il/url?sa=t&rct=j&q=&esrc=s&source=web&cd=1&cad=rja&uact=8&ved=0CCsQFjAA&url=http%3A%2F%2Fwww.openbloomberg.com%2Ffiles%2F2012%2F03%2Fblpapi-developers-guide.pdf&ei=1hozU9CLLvLb7AbmyoFY&usg=AFQjCNF3SsHRtum6yKyQ0oeRdrKU9Kwr3g&sig2=SJcFTMFrGdoQ2QO3mbD8bg&bvm=bv.63738703,d.ZGU

6.2.3 Intraday Tick Request

Answer:

For completeness, allow me to mention that Whit, John and I released a new package Rblpapi to CRAN which you can install directly via

  install.packages("Rblpapi")

It does not depends on Java, and works on Windows, OS X and Linux.

The package has a function ‘getTicks()’ which does what you want. Here is a futures example (as it is now Sunday evening):

R> getTicks("ES1 Index", startTime=Sys.time()-15, endTime=Sys.time())
                      value size
2015-08-23 19:49:47 1960.25    1
2015-08-23 19:49:54 1960.50    1
2015-08-23 19:49:57 1960.25    1
2015-08-23 19:49:59 1960.50    7
2015-08-23 19:49:59 1960.50    1
2015-08-23 19:49:59 1960.50    2
2015-08-23 19:49:59 1960.50    2
2015-08-23 19:49:59 1960.50    9
2015-08-23 19:49:59 1960.50    1
2015-08-23 19:49:59 1960.50    1
2015-08-23 19:49:59 1960.50    1
2015-08-23 19:49:59 1960.50    1
2015-08-23 19:49:59 1960.50    2
2015-08-23 19:50:00 1960.50    1
2015-08-23 19:50:00 1960.50    1
2015-08-23 19:50:00 1960.50    3
2015-08-23 19:50:01 1960.50    1
2015-08-23 19:50:02 1960.50    1
2015-08-23 19:50:02 1960.50    1
2015-08-23 19:50:02 1960.50    4
2015-08-23 19:50:02 1960.50    1
2015-08-23 19:50:02 1960.50    1
2015-08-23 19:50:02 1960.50    1
R> 

That is just trades. We also added a function getMultipeTicks() which gets (by default) also Bid and Ask (and other types can be specified).