bdh(), I am trying to download historic weekday prices regardless if the weekday is a holiday or not. The default does not return weekday bank holidays. The only option is to return all calendar days.
The override should be Days=W, but I get an error. It would be great if someone could point me into the right direction. Many thanks!
blpConnect() startdate <- as.Date("1999-01-29") tickers <- c("SPX Index","VIX Index") opt <- c("periodicitySelection"="DAILY","currency"="USD") overrides.week <- "Days" names(overrides.week) = "W"
overrride.week <- c("Days"="W") p.d.raw <- bdh(tickers, fields="LAST PRICE", start = startdate, end=Sys.Date(), options=opt, override=overrides.week)
gives the error Choice sub-element not found for name 'securityData'.