Together with Enrique's running start and Prasad's work, we figured out how to get tick data and bulk data from Bloomberg into R. Here is a code snippet which builds on Enrique's. ---------------------------- require("RDCOMClient") blCon <<- try(blCon <- COMCreate("Bloomberg.Data.1"), silent=TRUE) # Always check the class of blCon before proceeding! # First tick data ticker <- "IBM US Equity" fields <- c("Last Price","Volume") comFrom <- new("COMDate",38442.4583333333) comTo <- new("COMDate",38442.58247696760) z <- as.integer(0) histData <- try(blCon$BLPGetHistoricalData(Security=ticker, Fields=fields, StartDate=comFrom, EndDate=comTo, BarSize=z)) # Notes: # Passing in just a 0 instead of an int 0 (as z) crashes Rgui # For tick data, only one ticker is allowed in each call. # Beware of asking for a long date range; tick data can be very voluminous. # I'm sure someone can do some R-magic to fix my start and end datetimes (please!) # Bulk data is just like getting prices, except for the return object being more complex tickers <- c("TYM5 Comdty", "USM5 Comdty") fields <- c("FUT_DELIVERABLE_BONDS", "FUT_DLVRBLE_BNDS_CUSIPS") bulkData <- try(blCon$BlpSubscribe(Security=tickers, Fields=fields)) ---------------------------- Note that my original idea about GetHistoricalData was wrong since that isn't a function. (At least I couldn't get it to work.) As a last note, it would be very nice if RDCOMClient were directly available from CRAN so we could use install.packages, etc. (hint, hint!) Enjoy, David L. Reiner p.s. I know cross-posting is discouraged, but I thought some people might be looking for this information on r-sig-finance someday.