andylynch / Rblpapi

R package to fetch data from a certain vendor who has a habit of asking for its name to be redacted

Rblpapi

R Access to Bloomberg API

Background

Rblpapi provides R with access to data and calculations from Bloomberg Finance L.P. via the API libraries provided by Bloomberg at Bloomberg Labs.

Requirements

A valid and working Bloomberg installation.

Examples

Here are a few simple examples.

library(Rblpapi)
con <- blpConnect() 	# automatic if option("blpAutoConnect") is TRUE

spx <- bdh(securities = "SPX Index", 
           fields = "PX_LAST", 
           start.date = as.Date("2013-03-01"))

spx_ndx <- bdh(securities = c("SPX Index","NDX Index"), 
               fields = "PX_LAST",
               start.date = as.Date("2013-03-01"), 
               include.non.trading.days = TRUE)

monthlyOptions <- structure(c("ACTUAL", "MONTHLY"),
                            names = c("periodicityAdjustment",
                                      "periodicitySelection"))
spx_ndx_monthly <- bdh(securities = c("SPX Index","NDX Index"), 
                       fields = "PX_LAST",
                       start.date = as.Date("2012-01-01"), 
                       options = monthly.options)

goog_ge_div <- bdh(securities = c("GOOG Equity","GE Equity"),
                   fields = c("PX_LAST","CF_DVD_PAID"), 
                   start.date = as.Date("2012-11-01"))

goog_ge_px <- bdp(securities = c("GOOG Equity","GE Equity"),
                  fields = c("PX_LAST","DS002"))

Status

Fully functional on Linux, OS X and Windows.

Authors

Whit Armstrong, Dirk Eddelbuettel and John Laing

License

GPL-3 for our code

License.txt for the Bloomberg libraries and headers it relies upon