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?
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.