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require(RBloomberg)
source("utils.R")
conn <- blpConnect(jvm.params = "-Xmx1024m")
#get current tickers
sp500.tickers <- as.character(bds(conn,"SPX Index","INDX_MEMBERS")[,1])
#remove exchange information
sp500.tickers <- gsub(" [A-Z]*","", sp500.tickers)
add <- read.table("sp500 add.csv", sep=",", fill=T, header=T,
colClasses="character", quote="")
add$date <- as.Date(add$date,format="%m/%d/%Y")
sp500.extended <- union(sp500.tickers,add$ticker.del)
sp500.extended <- sp500.extended[-match(c("","WHO"),sp500.extended)]
extra.tickers <- setdiff(sp500.extended,sp500.tickers)
company.names <- c()
for(ticker in sp500.extended){
company.names <- c(company.names,
bdp(conn, paste(ticker, "Equity"), "NAME")$NAME)
}
sp500.extended <- data.frame(ticker=sp500.extended,name=company.names)
write.table(file="sp500 extended.csv", sp500.extended, col.names=T,
row.names=F, sep=",")
#retrieve data from bloomberg
start.date <- as.Date("2000-01-01")
stock.data <- list()
for(i in 1:NROW(sp500.extended)){
ticker <- as.character(sp500.extended$ticker[i])
stock.data[[ticker]] <- getBloombergData(conn,ticker,start.date)
cat(paste("ticker", i, ": ",ticker),"\n")
}
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