Merge pull request #205 from Rblp/bdh-use-double

use double for int32 and int64 field types in bdh (closes #163)

ChangeLog

@@ -1,3 +1,12 @@
+2016-11-18  John Laing  <[email protected]>
+
+	* R/bdh.R: Add option to use double for int32 and int64 field types in bdh
+	* R/RcppExports.R: Ditto
+	* man/bdh.Rd: Ditto
+	* src/RcppExports.cpp: Ditto
+	* src/bdh.cpp: Ditto
+	* inst/unitTests/runit.bdh.R: Ditto
+
 2016-10-25  Dirk Eddelbuettel  <[email protected]>
 
 	* DESCRIPTION (Version, Date): Release 0.3.5

R/RcppExports.R

@@ -5,8 +5,8 @@ authenticate_Impl <- function(con_, uuid_, ip_address_) {
     .Call('Rblpapi_authenticate_Impl', PACKAGE = 'Rblpapi', con_, uuid_, ip_address_)
 }
 
-bdh_Impl <- function(con_, securities, fields, start_date_, end_date_, options_, overrides_, verbose, identity_) {
-    .Call('Rblpapi_bdh_Impl', PACKAGE = 'Rblpapi', con_, securities, fields, start_date_, end_date_, options_, overrides_, verbose, identity_)
+bdh_Impl <- function(con_, securities, fields, start_date_, end_date_, options_, overrides_, verbose, identity_, int_as_double) {
+    .Call('Rblpapi_bdh_Impl', PACKAGE = 'Rblpapi', con_, securities, fields, start_date_, end_date_, options_, overrides_, verbose, identity_, int_as_double)
 }
 
 bdp_Impl <- function(con_, securities, fields, options_, overrides_, verbose, identity_) {

R/bdh.R

@@ -42,6 +42,9 @@
 ##' @param con A connection object as created by a \code{blpConnect}
 ##' call, and retrieved via the internal function
 ##' \code{defaultConnection}.
+##' @param int.as.double A boolean indicating whether integer fields should
+##' be retrieved as doubles instead. This option is a workaround for very
+##' large values which would overflow int32. Defaults to \sQuote{FALSE}
 ##' @return A list with as a many entries as there are entries in
 ##' \code{securities}; each list contains a data.frame with one row
 ##' per observations and as many columns as entries in
@@ -71,7 +74,8 @@
 ##' }
 bdh <- function(securities, fields, start.date, end.date=NULL,
                 include.non.trading.days=FALSE, options=NULL, overrides=NULL,
-                verbose=FALSE, identity=NULL, con=defaultConnection()) {
+                verbose=FALSE, identity=NULL, con=defaultConnection(),
+                int.as.double=getOption("blpIntAsDouble", FALSE)) {
     if (!class(start.date) == "Date") stop("start.date must be a Date object", call.=FALSE)
     start.date <- format(start.date, format="%Y%m%d")
     if (!is.null(end.date)) {
@@ -85,7 +89,7 @@ bdh <- function(securities, fields, start.date, end.date=NULL,
     }
 
     res <- bdh_Impl(con, securities, fields, start.date, end.date, options, overrides,
-                    verbose, identity)
+                    verbose, identity, int.as.double)
     if (typeof(res)=="list" && length(res)==1) {
         res <- res[[1]]
     }

inst/unitTests/runit.bdh.R

@@ -54,4 +54,15 @@ if (.runThisTest) {
         checkTrue(length(col.types)==1L && col.types=="Date",
                   msg = "check column types == 'Date'")
     }
+
+    test.bdhIntAsDouble <- function() {
+        checkException(bdh("SPX Index", "PX_VOLUME", as.Date("2000-12-14"), as.Date("2000-12-15")),
+                       msg = "check int overflow")
+
+        res <- bdh("SPX Index", "PX_VOLUME", as.Date("2000-12-14"), as.Date("2000-12-15"), int.as.double=TRUE)
+        checkTrue(!is.integer(res$PX_VOLUME),
+                  msg = "check volume is not integer")
+        checkTrue(is.numeric(res$PX_VOLUME),
+                  msg = "check volume is numeric")
+    }
 }

src/RcppExports.cpp

@@ -20,8 +20,8 @@ BEGIN_RCPP
 END_RCPP
 }
 // bdh_Impl
-Rcpp::List bdh_Impl(SEXP con_, std::vector<std::string> securities, std::vector<std::string> fields, std::string start_date_, SEXP end_date_, SEXP options_, SEXP overrides_, bool verbose, SEXP identity_);
-RcppExport SEXP Rblpapi_bdh_Impl(SEXP con_SEXP, SEXP securitiesSEXP, SEXP fieldsSEXP, SEXP start_date_SEXP, SEXP end_date_SEXP, SEXP options_SEXP, SEXP overrides_SEXP, SEXP verboseSEXP, SEXP identity_SEXP) {
+Rcpp::List bdh_Impl(SEXP con_, std::vector<std::string> securities, std::vector<std::string> fields, std::string start_date_, SEXP end_date_, SEXP options_, SEXP overrides_, bool verbose, SEXP identity_, bool int_as_double);
+RcppExport SEXP Rblpapi_bdh_Impl(SEXP con_SEXP, SEXP securitiesSEXP, SEXP fieldsSEXP, SEXP start_date_SEXP, SEXP end_date_SEXP, SEXP options_SEXP, SEXP overrides_SEXP, SEXP verboseSEXP, SEXP identity_SEXP, SEXP int_as_doubleSEXP) {
 BEGIN_RCPP
     Rcpp::RObject rcpp_result_gen;
     Rcpp::RNGScope rcpp_rngScope_gen;
@@ -34,7 +34,8 @@ BEGIN_RCPP
     Rcpp::traits::input_parameter< SEXP >::type overrides_(overrides_SEXP);
     Rcpp::traits::input_parameter< bool >::type verbose(verboseSEXP);
     Rcpp::traits::input_parameter< SEXP >::type identity_(identity_SEXP);
-    rcpp_result_gen = Rcpp::wrap(bdh_Impl(con_, securities, fields, start_date_, end_date_, options_, overrides_, verbose, identity_));
+    Rcpp::traits::input_parameter< bool >::type int_as_double(int_as_doubleSEXP);
+    rcpp_result_gen = Rcpp::wrap(bdh_Impl(con_, securities, fields, start_date_, end_date_, options_, overrides_, verbose, identity_, int_as_double));
     return rcpp_result_gen;
 END_RCPP
 }

src/bdh.cpp

@@ -96,7 +96,8 @@ Rcpp::List bdh_Impl(SEXP con_,
                     std::vector<std::string> fields,
                     std::string start_date_, SEXP end_date_,
                     SEXP options_, SEXP overrides_,
-                    bool verbose, SEXP identity_) {
+                    bool verbose, SEXP identity_,
+                    bool int_as_double) {
 
     Session* session = 
         reinterpret_cast<Session*>(checkExternalPointer(con_,"blpapi::Session*"));
@@ -109,6 +110,12 @@ Rcpp::List bdh_Impl(SEXP con_,
         rtypes.push_back(fieldInfoToRblpapiT(f.datatype,f.ftype));
     }
 
+    // for bdh request all int fields as doubles b/c of implicit bbg conversion
+    if (int_as_double) {
+      std::transform(rtypes.begin(), rtypes.end(), rtypes.begin(),
+                     [](RblpapiT x) { return x == RblpapiT::Integer || x == RblpapiT::Integer64 ? RblpapiT::Double : x; });
+    }
+
     const std::string rdsrv = "//blp/refdata";
     if (!session->openService(rdsrv.c_str())) {
         Rcpp::stop("Failed to open " + rdsrv);