require(RBloomberg)
source(getBloombergData.R)
conn <- blpConnect(jvm.params = "-Xmx1024m")
sp500.tickers <- as.character(bds(conn,"SPX Index","INDX_MEMBERS")[,1])
#remove exchange information
for(i in 1:length(sp500.tickers)){
  ticker <- sp500.tickers[i]
  sp500.tickers[i] <- strsplit(ticker," ")[[1]][1]
}

list.sp500 <- list()
for(i in 1:10){
  ticker <- sp500.tickers[i]
  list.sp500[[ticker]] <- getBloombergData(conn,ticker,start.date)
}


add <- read.table("sp500 add.csv",sep=",",fill=T,header=T,colClasses="character",quote="")
add$date <- as.Date(add$date,format="%m/%d/%Y")

memb <- function(index,add,date){
  #return the list of index constituents
  toreverse <- add[add$date>=date,]
  current.index <- index
  for(i in 1:nrow(toreverse)){
    if(toreverse$ticker.add[i]!=""){
      current.index <- current.index[-match(toreverse$ticker.add[i],current.index)]
    }
    if(toreverse$ticker.del[i]!=""){
      current.index <- sort(c(current.index,toreverse$ticker.del[i]))
    }
  }
  current.index
}

sp500.extended <- union(sp500.tickers,add$ticker.del)
sp500.extended <- sp500.extended[-match("",sp500.extended)]
extra.tickers <- setdiff(sp500.extended,sp500.tickers)

list.extra <- list()
for(i in 1:length(extra.tickers)){
  ticker <- extra.tickers[i]
  list.extra[[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)
}