getBars - return value traded

[joel23888]

Could getBars support returning the value traded in the bar? It seems from the BBG API Developer's guide and looking in BBG's Excel tools that 'value' is supported.

Ref: BBG API Developer's guide, http://www.bloomberglabs.com/content/uploads/sites/2/2014/07/blpapi-developers-guide-2.54.pdf (see p. 177)

[eddelbuettel]

Could you expand on what you want, what you get, why you think that is wrong and what you think we need to change?

Sorry, but we are busy too and a random link doesn't quite get me to read pages of documentation especially when the function has so far worked just fine.

[joel23888]

Here is an example of what I currently get:

tmp <- getBars("7203 JT Equity")
tmp
times open high low close numEvents volume
1 2015-11-10 09:00:00 7588 7638 7576 7606 4534 2458100
2 2015-11-10 10:00:00 7608 7616 7586 7603 2135 876200
3 2015-11-10 11:00:00 7605 7610 7601 7602 364 125400

BBG's document which I linked before says there is an additional column called 'value' returned when using the C++ API. Could you pass that back in the result of getBars as an additional column called 'value'?

So I would want something like:

tmp <- getBars("7203 JT Equity")
tmp
times open high low close numEvents volume value
1 2015-11-10 09:00:00 7588 7638 7576 7606 4534 2458100 [value for row 1]
2 2015-11-10 10:00:00 7608 7616 7586 7603 2135 876200 [value for row 2]
3 2015-11-10 11:00:00 7605 7610 7601 7602 364 125400 [value for row 3]

You can't derive the 'value' column from existing columns.

[eddelbuettel]

You'd have to work out how to do that by experimenting with the code and/or options to the call.

I have no idea whether this is feasible -- sorry.

[eddelbuettel]

On second look, maybe the 'value' component is in the bar returned in which case we could get it. If I (or somebody else ...) has time to test it ...

[eddelbuettel]

Ok, that was easy. When I first wrote getBars() I followed an existing example which did not have a value column. As you point out, it is there and now we return it:

R> getBars("ES1 Index")
                       open    high     low   close numEvents volume       value
2015-11-09 14:58:00 2073.75 2075.00 2071.50 2072.00      7828 131827 273358112.0
2015-11-09 15:58:00 2072.00 2072.50 2071.75 2072.25        82    218    451734.5
2015-11-09 17:00:00 2072.25 2073.25 2069.75 2072.75      1159   4878  10104549.0
2015-11-09 18:00:00 2072.75 2075.00 2072.25 2073.25      1888   5910  12257721.0
2015-11-09 19:00:00 2073.25 2075.75 2071.00 2074.75      2008   7829  16231860.0
2015-11-09 20:00:00 2074.50 2075.75 2073.50 2075.50      1154   3834   7954627.0
R> 

I'll update the manual page and will then commit this.

Thanks for the suggestion, and overall rather focused pointer to documentation -- appreciate it.

[joel23888]

Thank you, yes I also saw that misleading example somewhere.

[eddelbuettel]

It is not misleading as simply incomplete / behind the full set of features are you discovered by reading the documentation. Yet these examples were highly valuable to get going.

[joel23888]

@eddelbuettel I tried to install_github from the feature/bars-return-value branch and also master but received an error. Seems like the install script cannot find ../win/i386/blpHeaders.tar.gz. install_github is working for me for other repositories, so can I show you the error I am receiving? If so, let me know where to post this.

[eddelbuettel]

Do you have a git client? If you, just git pull and create a tarball via R CMD build.

I rebuilt from the repo multiple times on multiple machines in the last few days... If that does not work for you I could push a tarball into one of the drat repos.

[joel23888]

Thanks for the quick enhancement @eddelbuettel. Seems I just needed to have curl installed and now it works as expected from install_github. Last time I installed from github was before it needed to grab the files from Rblp/blp.