[R-SIG-Finance] RBloomberg - no historical date retrieved since yesterday for ES1 Index

[Sergio Bizzotto]

Hi John,

Thanks a lot for this. With your suggestion I can definitely go back to Bloomberg now. Your formula works fine for all other futures, even if they did not exist then, so that's the proof that this is actually a Bloomberg issue for ES1 Index.

Thanks again.

Regards,
Sergio



From: John Laing [mailto:john.laing at gmail.com]
Sent: 06 September 2011 18:31
To: Sergio Bizzotto
Cc: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] RBloomberg - no historical date retrieved since yesterday for ES1 Index

Hi Sergio,

It seems highly unlikely that the issue is in RBloomberg. Two reasons why I think this:

1) You can retrieve data for other tickers, so your configuration works. The package doesn't care what ticker you give it; it just passes that along to Bloomberg.
2) In Excel, BDH("ES1 Index","PX_OPEN","1990-01-01") returns "#N/A N/A".

You should go back to Bloomberg. The problem is probably on their side, even if they don't realize/admit it yet.

Thanks,
John

On Tue, Sep 6, 2011 at 12:42 PM, Sergio Bizzotto <Sergio.Bizzotto at reechaim.com<mailto:Sergio.Bizzotto at reechaim.com>> wrote:


Hello,
Since yesterday it seems like the historical data retrieval for the ticker ES1 Index does not work, NULL is returned. I run it for months and it used to work without any problems.

I am using the following:
conn <- blpConnect();
test=bdh(conn, securities="ES1 Index", fields=c("PX_OPEN", "PX_HIGH", "PX_LOW", "PX_LAST", "PX_BID", "PX_ASK", "PX_VOLUME"), start_date=as.Date("1990-01-01"), include.non.trading.days=F, dates.as.row.names=FALSE);

The same code works and retrieves data for all the other tickers I am using (87 futures tickers), including "NQ1 Index".

I am using Rbloomberg_0.4-149 with rJava_0.8-5.

Is anybody experiencing the same issue? I have spoken yesterday to Bloomberg and they said that their API is working fine and there are currently no problems. I also run the Bloomberg API diagnostic test and everything seems to work properly.
Initially I thought the problem could have been caused by yesterday's US holiday but today the problem still persists when retrieving the data for that ticker using RBloomberg. Any chance the problem is on the RBloomberg package side?

Thanks.

Regards,
Sergio





Sergio Bizzotto
Senior Risk Analyst



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Sergio Bizzotto
Senior Risk Analyst 
 
      
Reech AiM Partners LLP, Henrietta House, 8 Henrietta Place, London, W1G 0NB, United Kingdom
http://www.reechaim.com/
 DDI: +44 20 7399 3665; Switchboard: +44 20 7399 3650
 Fax: +44 20 7399 3698; http://www.reechaim.com/
Reech AiM Partners LLP, Registered Office: 4th Floor, Reading Bridge House, George Street, Reading RG1 8LS. Registered in England and Wales No. OC321436. Authorised and regulated by the Financial Services Authority. Reech CBRE Alternative Real Estate LLP, Registered Office: 4th Floor, Reading Bridge House, George Street, Reading RG1 8LS. Registered in England and Wales No. OC322313. Authorised and regulated by the Financial Services Authority. This message and any attachments (the "message") is intended solely for the addressees and is confidential.
 
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