2015-08-13
The Rblpapi package connects the R language and environment for statistical computing to the Bloomberg services supported by the official Bloomberg APIs.
The Rblpapi package is provided in both source and binary (for Windows and OS X) via the CRAN network for R. Source code is available at the corresponding GitHub repo; the blp repo contains the Bloomberg API components required during the build.
The next few section illustrate key functions within the package. All functions also have proper help pages for fuller details.
Use
library(Rblpapi)to load the package. You can also set options which will automatically connect at package load; see the next section.
Use
blpConnect()which will connect to the Bloomberg backend. Default values for the IP address (127.0.0.1) and port (8194) are used and can be overridden both as function arguments and via global options blpHost and blpPort. Moreover, if option blpAutoConnect is set to TRUE, this connection is done at package load.
The appName argument is optional and is for Application-Name authentication (via B-PIPE or SAPI, see blpAuthenticate()).
The resulting connection object is stored in a per-package environment providing a default value. If needed it can be overridden in each accessor function.
As the connection object is being held onto, the blpDisconnect() function is implemented as an empty function without side-effects. The internal function defaultConnection() returns the default connection object.
Default arguments and auto-connect can be set via options()
options("blpAutoConnect" = TRUE)
options("blpHost" = "x.x.x.x")
options("blpPort" = 8194)
options("blpAppName" = "yyy")Optionally use
blpAuthenticate()blpAuthenticate() is usually needed for SAPI & B-PIPE sessions. DAPI (Desktop) sessions do not usually require calling blpAuthenticate(), and will function with a default NULL identity object.
blpAuthenticate() connects to SAPI/B-PIPE server, and authenticates via UUID/login-location or Application-Name. It can set a default identity object for future calls (bdp(), bds(), etc). Or it can return an identity object to explicitly pass to future calls.
Additionally, if blpAutoAuthenticate is true, blpAuthenticate() will be called at package load, storing a default identity object. The internal function defaultAuthentication() returns the default identity object.
If needed, the default identity object can be overridden in each accessor function.
Default arguments and auto-authentication can be set via options()
options("blpAutoAuthenticate" = TRUE)
options("blpUUID" = "xxx")
options("blpLoginHostname" = "yyy")
options("blpLoginIP" = "z.z.z.z")For application-id authentication, first use blpConnect() with an appName argument. Then call blpAuthenticate() with no arguments.
blpConnect( ... , appName = "appName")
blpAuthenticate()For UUID authentication, connect with blpConnect(), then blpAuthenticate() with the UUID and last hostname/IP the UUID logged in from. Usually this is the IP of your Bloomberg Terminal. For your UUID, IAM <GO> in Bloomberg Terminal. Note, if you supply both IP and host arguments, the IP will be used, and the host ignored.
blpConnect( ... )
blpAuthenticate( uuid="UUID", ip.address="x.x.x.x")Current (or most recent) values of market-related instruments can be accessed via the bdp() function:
bdp(c("ESA Index", "SPY US Equity"), c("PX_LAST", "VOLUME"))The bds() function can retrieve data of a more static nature:
bds("GOOG US Equity", "TOP_20_HOLDERS_PUBLIC_FILINGS")Historical data (at a daily granularity) can be retrieved with bdh():
bdh("SPY US Equity", c("PX_LAST", "VOLUME"), start.date=Sys.Date()-31)The getBars() function retrieves aggregated Open / High / Low / Close / Volume data. For example, in
getBars("ES1 Index")the default values of six hourly bars for the lead ES future.
The getTicks() function retrieves tickdata, albeit with timestamps at a minute granularity. For example, the call
getTicks("ES1 Index")retrieves all ticks for the given security over the last hour.
The fieldSearch() helper function can search for available fields which can be used with the bdp(), bdh() or bds() functions. For example,
res <- fieldSearch("vwap")search for fields describing volume-weighted average price fields
The beqs() function (which was contribued by Rademeyer Vermaak) can access EQS functionality:
beqs("Global Oil Companies YTD Return","GLOBAL")Most valuable contributions from both Jonathan Owen (who kick-started builds on Windows when we considered these to be impossible) and Jeroen Ooms (who took care of builds on OS X) are gratefully acknowledged.
All trademarks and registered trademarks are the property of their respective owners.
All code of the Rblpapi package (ie directories src/, R/, …) is released under the GNU GPL-3.
All code retrieved from the blp repository during build is released by Bloomberg, available at the Bloomberg API site and released under the license included below.
Copyright 2012. Bloomberg Finance L.P.
Permission is hereby granted, free of charge, to any person obtaining a copy of
this proprietary software and associated documentation files (the "Software"),
to use, publish, or distribute copies of the Software, and to permit persons to
whom the Software is furnished to do so.
Any other use, including modifying, adapting, reverse engineering, decompiling,
or disassembling, is not permitted.
The above copyright notice and this permission notice shall be included in all
copies or substantial portions of the Software.
THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
SOFTWARE.