CODEWITHSUNDEEP
rblpapirblpapi
Rafael
Rafael

Reputation: 3196

using Rblpapi to pull intraday data

I am trying to recreate this excel call in R:

#=@BDH("AAPL Equity","CLOSE","2021-02-17 09:00:00","","BarTp","Trade","BarSz=15","cols=2;rows=33")

However I can't seem to get the syntax right.

How can I pass that info Rblapi:bdh function?

I keep running into errors, for example:

bdh('AAPL Equity', 'CLOSE', start.date = ymd("2021-02-17"), end.date = ymd("2021-02-18"))
#Error in bdh_Impl(con, securities, fields, start.date, end.date, options,  : 
#  Bad field: CLOSE

Upvotes: 0

Views: 408

Answers (1)

tester
tester

Reputation: 1692

library(Rblpapi)

conn <- blpConnect()
opt <- c("periodicitySelection"="Trade")

test <- getBars(
  security = 'AAPL Equity',
  eventType = "TRADE",
  barInterval = 15,
  startTime = as.POSIXct('2021-02-17 09:00:00'),
  endTime = as.POSIXct('2021-02-18 09:00:00'),
  options = NULL,
  verbose = FALSE,
  returnAs = getOption("blpType",
                       "matrix"),
  tz = Sys.getenv("TZ", unset = "UTC"),
  con = conn
)

> head(test)
                times    open    high    low  close numEvents  volume      value
1 2021-02-17 14:30:00 131.250 132.220 130.93 131.35     32986 9343279 1229695488
2 2021-02-17 14:45:00 131.350 131.890 130.81 130.83     20023 4783466  628140480
3 2021-02-17 15:00:00 130.830 131.038 130.36 130.37     26084 6128971  801014528
4 2021-02-17 15:15:00 130.364 130.490 129.89 130.22     25678 6163800  802381888
5 2021-02-17 15:30:00 130.210 130.360 129.94 130.31     16791 3594390  467845728
6 2021-02-17 15:45:00 130.300 130.941 130.13 130.88     15068 3451127  451026752

Upvotes: 0

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