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I was trying to download daily data from a few tickers from Bloomberg with Rblpapi. I wanted all calendar data, not just trading days, but, when I put these options, my data return only with NA.

Options:

options <- c("periodicitySelection" = "DAILY", 
             "nonTradingDayFillOption" = "NON_TRADING_WEEKDAYS", 
             "nonTradingDayFillMethod" = "NIL_VALUE")

data <- bdh("BCSWFPD BGN Curncy", c("PX_LAST"), start.date = ymd("2000-01-01"), options = options)

If I remove the options and leave only the periodicitySelection, it works fine.

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    $\begingroup$ Best bet may be to file an issue. $\endgroup$
    – chrisaycock
    Jun 17 '20 at 18:28
  • $\begingroup$ I just checked and there is only data from September 2009 to December 2015, so the first 2500 datapoints and last 1200 or so datapoints are all N/As. Are you sure you didn't receive valid data in the middle of the returned list? $\endgroup$
    – assylias
    Jun 17 '20 at 19:04
  • $\begingroup$ @assylias If I use only periodicitySelection, I receive data until today. $\endgroup$
    – Alexandre Sanches
    Jun 17 '20 at 21:43
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Simplest way to check is to load on the terminal.

BCSWFPD BGN Curncy GP MAX

vs

BCSWFPD CMPN Curncy GP MAX

You are querrying data that does not exist. CMPN has more history.

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