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I'm using Rblapi to get tick data, using the nice getTicks function. Much to my dismay the index is rounded to the second, while milliseconds time stamp could be provided. Tried returnsAs xts, fts(?) or matrix, but no luck. Anyone has an idea about how to make it work?

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  • $\begingroup$ could you provide an example of the call? $\endgroup$ – Ric Feb 5 '16 at 11:41
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    $\begingroup$ Sure. Something like: oil <- getTicks(c("CO1 Comdty", "CL1 Comdty",returnas="xts") (I don't have BB in front of me ATM, so it's from memory,sorry). The issue is actually especially acute when one needst to align ticks movements in a merged xts (or fts, or matrix) since there are obviously a lot of trades every seconds at time. The Bloomberg support says the historical API calls are only granular at the second, though, so I think I'm out of luck. This is quite frankly very disapointing and make the tick data a bit useless for high frequency studies $\endgroup$ – Max F Feb 6 '16 at 4:55
  • $\begingroup$ Ok, I checked this ... the synthax that you provide does not work because "xts" is not a return typ. What if you contact the package author directly? I think he is quite responsive. $\endgroup$ – Ric Feb 8 '16 at 13:02
  • $\begingroup$ Did You find any way to get ticks with milli/microseconds to R from bloomberg? I've got an official answer that microseconds are supported and You can check it yourself keeping mouse over timestamp in QRM $\endgroup$ – Lomiarz Sep 26 '18 at 13:30
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I got an answer from BLOOMBERG and it is officialy possible to get data with precision up to 6 digits. I had to upgrade my bloomberg desktop API (just download ZIP and unpack to BLP folder). There You got a new Bloomberg API Demo Tool where You can test different formulas and if they work, they work in api. And they do work without problem getting ticks with microseconds. Now i think the problem stays on the side of RBLPAPI developers to use the new c++ api in RBLPAPI plugin and pass timestamps with microseconds to R.

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  • $\begingroup$ please could you elaborate about what "official answer from Bloomberg" means? I contacted Bloomberg support today and the answer was "we are sorry, only timestamp at second resolution is available". it sucks $\endgroup$ – mmama Dec 19 '18 at 8:34

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