So Dirk Eddelbuettel, Whit Armstrong, and John Laing released Rblpapi to CRAN recently, and it is awesome. I'm having some difficulty understanding how the overrides work though, hopefully someone can help me out.
I'm trying to import price returns from two indices, and want to do so using monthly data. W/out the periodicity override, it imports daily data fine. When I try and add an override to convert it to monthly data requests, I get an error. In the python api the override command is periodicity. Is it the same in Rblpapi? Does anyone know how this is this designed to work in Rblpapi? Are the override names and values the same as in the BBG developer's guide?
Here is a code sample and the resulting output:
library(Rblpapi) #initalize data import end.dt = Sys.Date() start.dt = as.Date(x = "1995-03-31") #define start date blpConnect() #connect to BBG, does not need to be closed #set import variables index.growth = "MXUS000G Index" #define growth index index.value = "MXUS000V Index" #define value index indices = c(index.growth,index.value) overrides.px = "Monthly" names(overrides.px) = "periodicity" px = bdh(securities = indices,fields = "px_last",start.date = start.dt,end.date = end.dt, overrides = overrides.px) Error: Choice sub-element not found for name 'securityData'.