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.

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)

monthly.options <- 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.

Installation

The package is on CRAN and can be installed as usual via

install.packages("Rblpapi")

Interim (source or binary) releases may be also be made available through the ghrr drat repository as well and can be accessed via

install.packages("drat")       # easier repo access + creation
drat:::add("ghrr")             # make it known
install.packages("Rblpapi")    # install it

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