Type: Package
Title: R Interface to 'Bloomberg Data License'
Version: 0.2.6
Description: R interface to access prices and market data with the 'Bloomberg Data License' service from https://www.bloomberg.com/professional/product/data-license/. As a prerequisite, a valid Data License from 'Bloomberg' is needed together with the corresponding SFTP credentials and whitelisting of the IP from which accessing the service. This software and its author are in no way affiliated, endorsed, or approved by 'Bloomberg' or any of its affiliates. 'Bloomberg' is a registered trademark.
License: GPL-3
URL: https://rbldatalicense.eguidotti.com
BugReports: https://github.com/eguidotti/RblDataLicense/issues
Depends: RCurl, xts, methods
Suggests: knitr, rmarkdown
VignetteBuilder: knitr
RoxygenNote: 7.2.3
NeedsCompilation: no
Packaged: 2024-08-21 12:17:10 UTC; eguidotti
Author: Emanuele Guidotti ORCID iD [aut, cre]
Maintainer: Emanuele Guidotti <emanuele.guidotti@usi.ch>
Repository: CRAN
Date/Publication: 2024-08-22 07:20:02 UTC

Create an SFTP connection to Bloomberg Data License

Description

An sftp connection to Bloomberg Datalicense is established. On some Linux systems, this may not work out of the box, as libcurl does not natively support sftp. In that case, you need to compile curl with SFTP support. See here for details: http://askubuntu.com/questions/195545/how-to-enable-sftp-support-in-curl

Usage

RblConnect(
  user,
  pw,
  host = "sftp.bloomberg.com",
  port = "22",
  protocol = "sftp",
  verbose = TRUE
)

Arguments

user

The account number assigned by Bloomberg

pw

The password assigned by Bloomberg

host

The connection host

port

The connection port

protocol

The connection protocol

verbose

logical. Should print extra information on failure?

Value

logical. Is the connection succesful?

Examples

## Not run: 
# These are dummy credentials. Replace with the credentials received from Bloomberg 
RblConnect(user = 'dl000000', pw = '0000000000000000') 

## End(Not run)

Download a file from Bloomberg

Description

Download a generic file from Bloomberg. Use RblFiles to list the files available at Bloomberg. If the file is not available yet (i.e. a request file has just been uploaded), the function waits until the response file is there or the timeout is reached

Usage

RblDownload(file, frequency = 60, timeout = 3600, verbose = TRUE)

Arguments

file

character string representing the file to download

frequency

the polling frequency to check if file is available at Bloomberg

timeout

the timeout in seconds

verbose

logical. Should R report extra information on progress?

Value

character string. Path to the downloaded file. NULL on failure

Examples

## Not run: 
# Run RblConnect first

# Build a request file to download the daily closing prices of 
#  EURO STOXX Index from 2005-01-01 to 2015-12-31.
RblRequest <- 
     RblRequestBuilder(
          header = c(FIRMNAME = RblUser(), 
                     PROGRAMNAME = 'gethistory', 
                     DATERANGE = '20050101|20151231'),
          fields = c('PX_LAST'), 
          identifiers = c('SXXE Index')
     )
                                
# Upload the request file
req <- RblUpload(RblRequest)

# Download the response file
out <- RblDownload(req$out)
out

## End(Not run)

List files available at Bloomberg

Description

Retrieve files available at Bloomberg.

Usage

RblFiles()

Value

Vector of character strings representing the filenames available at Bloomberg

Examples

## Not run: 
# Run RblConnect first
RblFiles()

## End(Not run)

Parse Bloomberg response file and import data

Description

Parse Bloomberg local response files and import the data in R. The PROGRAMNAME in use is auto detected: 'getdata' and 'gethistory' are supported.

Usage

RblParse(file, auto.assign = FALSE, env = parent.frame(), verbose = TRUE)

Arguments

file

character string representing the local file to parse (see RblDownload)

auto.assign

logical. Should results be loaded to env when using PROGRAMNAME=gethistory?

env

where to create objects if auto.assign = TRUE

verbose

logical. Should R report extra information on progress?

Value

PROGRAMNAME=getdata

data.frame containing identifiers (rows) and fields (columns). NULL on failure.

PROGRAMNAME=gethistory

list of xts objects. If auto.assign=TRUE the xts objects are loaded in env and the object names are returned. NULL on failure.

Examples

## Not run: 
# Run RblConnect first

# Build a request file to download the daily closing prices of 
#  EURO STOXX Index from 2005-01-01 to 2015-12-31.
RblRequest <- 
     RblRequestBuilder(
          header = c(FIRMNAME = RblUser(), 
                     PROGRAMNAME = 'gethistory', 
                     DATERANGE = '20050101|20151231'),
          fields = c('PX_LAST'), 
          identifiers = c('SXXE Index')
     )
                                
# Upload the request file
req <- RblUpload(RblRequest)

# Download the response file
out <- RblDownload(req$out)

# Import the data
data <- RblParse(out)
str(data)

## End(Not run)

Query Bloomberg and Fetch Data

Description

The function provides a high level interface to Bloomberg Datalicense 'getdata' and 'gethistory' programs.

Usage

RblQuery(
  identifiers,
  fields,
  from = NULL,
  to = Sys.Date(),
  auto.assign = FALSE,
  env = parent.frame(),
  category = c(),
  add_headers = c(),
  overrides = c(),
  limit = 5,
  split = 100,
  frequency = 60,
  timeout = 3600,
  filename = format(Sys.time(), "%m%d%H%M%S"),
  verbose = TRUE
)

Arguments

identifiers

vector of Bloomberg identifiers. E.g. c('SXXE Index', 'SX5E Index')

fields

vector of Bloomberg fields. E.g. c('PX_LAST', 'PX_CLOSE', 'PX_OPEN', 'PX_HIGH', 'PX_LOW')

from

date or string (format YYYY-MM-DD). Start time for the 'gethistory' request. If not provided, a 'getdata' request will be made

to

date or string (format YYYY-MM-DD). End time for the 'gethistory' request. Ignored if from is not provided

auto.assign

logical. Should results be loaded to env? Ignored if from is not provided

env

where to create objects if auto.assign = TRUE

category

vector of Data License categories to enable. E.g. c('SECMASTER', 'PRICING', 'FUNDAMENTALS'). WARNING! Each DL category is billed separately, so check your DL license carefully!

add_headers

named vector of additional headers. E.g. c(PROGRAMFLAG = 'oneshot')

overrides

named vector of Bloomberg overrides. E.g. c('END_DT' = '20100101')

limit

prevent requesting data for more than this amout of identifiers. This is done to help you keeping your budget under control. Data License is billing based on the amout of instruments you request, so check your DL license carefully before increasing this limit.

split

maximum number of identifiers to process at once. Requests are split to avoid memory leaks.

frequency

the polling frequency to check if the response file is available at Bloomberg

timeout

the timeout in seconds

filename

name assigned to the remote file. Only alphanumeric characters are allowed. Invalid characters are removed.

verbose

logical. Should R report extra information on progress?

Details

The following routine to query Bloomberg is implemented:

Build the request file

see RblRequestBuilder

Upload the request file

see RblUpload

Download the response file

see RblDownload

Parse the response file

see RblParse

Value

A list with components

req

List of characters representing each of the request files uploaded to Bloomberg

out

List of characters representing each of the response file downloaded from Bloomberg

data

Return of RblParse

Examples

## Not run: 
# Run RblConnect first
data <- RblQuery(fields = c('PX_LAST', 'PX_OPEN', 'PX_HIGH', 'PX_LOW'), 
                 identifiers = c('SXXE Index', "SX5E Index"), 
                 from = '2005-01-01')
str(data)

## End(Not run)

Build a request file to query Bloomberg

Description

The request file is generated according to Bloomberg Data License Documentation. Refer to the Documentation to build the request.

Usage

RblRequestBuilder(header, fields, identifiers, overrides = c())

Arguments

header

named vector of headers. E.g. c(FIRMNAME = RblUser(), PROGRAMNAME = 'getdata')

fields

vector of Bloomberg fields. E.g. c('PX_LAST', 'PX_OPEN', 'PX_HIGH', 'PX_LOW')

identifiers

vector of Bloomberg identifiers. E.g. c('SXXE Index', 'SX5E Index')

overrides

named vector of Bloomberg overrides. E.g. c('END_DT' = '20100101')

Value

character string representing the request file. Upload it to query Bloomberg (see RblUpload)

Examples

## Not run: 
# Run RblConnect first

# Build a request file to download the daily closing prices of 
#  EURO STOXX Index from 2005-01-01 to 2015-12-31.
RblRequest <- 
     RblRequestBuilder(
          header = c(FIRMNAME = RblUser(), 
                     PROGRAMNAME = 'gethistory', 
                     DATERANGE = '20050101|20151231'),
          fields = c('PX_LAST'), 
          identifiers = c('SXXE Index')
     )
RblRequest

## End(Not run)

Upload a request file to Bloomberg

Description

Upload a request file to query Bloomberg. A response file will be generated by Bloomberg. The request file can be user-defined following the Bloomberg Data License documentation or generated with the RblRequestBuilder function. The response file needs to be downloaded (see RblDownload) and parsed (see RblParse) to import the data in R.

Usage

RblUpload(
  RblRequest,
  filename = format(Sys.time(), "%m%d%H%M%S"),
  verbose = TRUE
)

Arguments

RblRequest

character string representing the request file according to Bloomberg Datalicense documentation. Can be generated with the RblRequestBuilder function

filename

name assigned to the remote file. Only alphanumeric characters and underscores are allowed. Invalid characters are removed.

verbose

logical. Should R report extra information on progress?

Value

A list with components

req

the request filename

out

the response filename

Examples

## Not run: 
# Run RblConnect first

# Build a request file to download the daily closing prices of 
#  EURO STOXX Index from 2005-01-01 to 2015-12-31.
RblRequest <- 
     RblRequestBuilder(
          header = c(FIRMNAME = RblUser(), 
                     PROGRAMNAME = 'gethistory', 
                     DATERANGE = '20050101|20151231'),
          fields = c('PX_LAST'), 
          identifiers = c('SXXE Index')
     )
                                
# Upload the request file
req <- RblUpload(RblRequest)
req

## End(Not run)

Get Bloomberg connection Url

Description

Retrieve the Bloomberg connection Url.

Usage

RblUrl()

Value

Url string

Examples

## Not run: 
# Run RblConnect first
RblUrl()

## End(Not run)

Get Bloomberg User

Description

Retrieve the Bloomberg User.

Usage

RblUser()

Value

User string

Examples

## Not run: 
# Run RblConnect first
RblUser()

## End(Not run)