Preliminary getBloombergData function

not very robust yet, need to test more corner cases.

2 files changed, 83 insertions, 6 deletions

diff --git a/bloomberg-data.R b/bloomberg-data.R
index 92d864a..8118d6c 100644
--- a/bloomberg-data.R
+++ b/bloomberg-data.R
@@ -1,4 +1,5 @@
 require(RBloomberg)
+source(getBloombergData.R)
 conn <- blpConnect(jvm.params = "-Xmx1024m")
 sp500.tickers <- as.character(bds(conn,"SPX Index","INDX_MEMBERS")[,1])
 #remove exchange information
@@ -8,15 +9,11 @@ for(i in 1:length(sp500.tickers)){
 }
 
 list.sp500 <- list()
-for(i in 1:length(sp500.tickers)){
+for(i in 1:10){
   ticker <- sp500.tickers[i]
-  list.sp500[[ticker]] <- bdh(conn,paste(ticker,"Equity"),c("PX_OPEN","PX_HIGH","PX_LOW","PX_LAST"),as.Date("2000-01-01"),dates.as.row.names=F)
+  list.sp500[[ticker]] <- getBloombergData(conn,ticker,start.date)
 }
 
-#split information
-EQY_DVD_HIST_SPLITS
-#dividend information
-DVD_HIST
 
 add <- read.table("sp500 add.csv",sep=",",fill=T,header=T,colClasses="character",quote="")
 add$date <- as.Date(add$date,format="%m/%d/%Y")
diff --git a/getBloombergData.R b/getBloombergData.R
new file mode 100644
index 0000000..302aac9
--- /dev/null
+++ b/getBloombergData.R
@@ -0,0 +1,80 @@
+getBloombergData <- function(conn,ticker,start,date){
+  ohlc <- bdh(conn,paste(ticker,"Equity"),c("PX_OPEN","PX_HIGH","PX_LOW","PX_LAST","VOLUME"),start.date,dates.as.row.names=F)
+  colnames(ohlc) <- c("Date","Open","High","Low","Close","Volume")
+  ohlc <- xts(ohlc[,-1],as.Date(ohlc$Date))
+  #split information
+  override_field="DVD_START_DT" #DVD_END_DT
+  override_values=format(start,"%Y%M%d")
+  spl <-  bds(conn,paste(ticker,"Equity"),c("EQY_DVD_ADJUST_FACT"),override_field,override_values)
+   # bds returns NULL if there is no data.
+   #Adjustment Factor Operator Type
+   # 1 = div
+   # 2 = mul
+   # 3 = add
+   # 4 = sub
+   #Adjustment Factor Flag
+   # 1 = prices only
+   # 2 = volumes only
+   # 3 = prices and volume
+
+   # can't handle 3 or 4 yet
+  if(NROW(spl)!=0){
+    if (NROW(spl[spl[,"Adjustment Factor Operator Type"]%in% c(3,4),])>0){
+      stop("case not handled")
+    }else{
+      spl[spl[,"Adjustment Factor Operator Type"]==1,"Adjustment Factor"] <-
+        1/spl[spl[,"Adjustment Factor Operator Type"]==1,"Adjustment Factor"]
+    }
+    spl <- xts(spl$"Adjustment Factor",as.Date(spl$"Adjustment Date"))
+    if(time(last(spl))>=start.date){
+      spl <- window(spl,start=start.date)
+    }else{
+      spl <- NULL
+    }
+  }
+  #div information
+  div <- bds(conn,paste(ticker,"Equity"),c("DVD_HIST"),override_fields,override <- values)
+  if(NROW(div)!=0){
+    div <- xts(div$"Dividend Amount",as.Date(div$"Ex-Date"))
+  }
+  if(is.null(div)&&is.null(spl)){
+    divspl <- NULL
+  }else if(is.null(div)){
+    divspl <- merge(NA,spl,all=T)
+  }else if(is.null(spl)){
+    divspl <- merge(div,NA,all=T)
+  }else{
+    divspl <- merge(div,spl,all=T)
+  }
+  if(!is.null(divspl)){
+    colnames(divspl) <- c("Adj.Div","Split")
+    if (all(is.na(divspl[, "Split"]))) {
+      s.ratio <- rep(1, NROW(divspl))
+    }else {
+      s.ratio <- adjRatios(split = divspl[, "Split"])[, 1]
+    }
+    divspl <- cbind(divspl, divspl[, "Adj.Div"] * (1/s.ratio))
+    colnames(divspl)[3] <- "Div"
+    ohlc <- merge(ohlc, divspl, all = TRUE)
+    adj <- adjRatios(ohlc[, "Split"], ohlc[, "Div"], ohlc[, "Close"])
+    s.ratio <- adj[, 1]
+    d.ratio <- adj[, 2]
+    cn <- colnames(ohlc)
+    ohlc <- cbind(ohlc, ohlc[, "Close"])
+    colnames(ohlc) <- c(cn, "Unadj.Close")
+    ohlc[, "Open"] <- ohlc[, "Open"] * d.ratio * s.ratio
+    ohlc[, "High"] <- ohlc[, "High"] * d.ratio * s.ratio
+    ohlc[, "Low"] <- ohlc[, "Low"] * d.ratio *s.ratio
+    ohlc[, "Close"] <- ohlc[, "Close"] * d.ratio * s.ratio
+    ohlc[, "Volume"] <- ohlc[, "Volume"] * (1/d.ratio)
+    ohlc <- ohlc[, c("Open", "High", "Low", "Close", "Volume",
+                     "Unadj.Close", "Div", "Split", "Adj.Div")]
+  }else{
+    cn <- colnames(ohlc)
+    ohlc <- cbind(ohlc, ohlc[, "Close"])
+    colnames(ohlc) <- c(cn, "Unadj.Close")
+    ohlc <- merge(ohlc,NA,NA,NA,all = TRUE)
+    colnames(ohlc) <- c(colnames(ohlc)[1:6],"Adj.Div","Split","Div")
+  }
+  return( ohlc )
+}