R and Bloomberg Data License

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R and Bloomberg Data License

Rassenti, Luca
Hello,


I am starting to work on setting up our own locally hosted Bloomberg database using a Bloomberg data license.  Any tips for setting this up?  Any R code which can do most of setup work?  Any suggestions on database design, table structure, etc.?  Any help or reference to resources/references would be much appreciated.  At minimum I will be setting up the database to store all futures data across all asset classes (equities, bonds, commodities), forwards for bonds and fx, spot prices series and yield series for those futures and bond series.



Thank you,

Luca


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Re: R and Bloomberg Data License

Enrico Schumann-2

Quoting "Rassenti, Luca" <[hidden email]>:

> Hello,
>
> I am starting to work on setting up our own locally hosted Bloomberg  
> database using a Bloomberg data license.  Any tips for setting this  
> up?  Any R code which can do most of setup work?  Any suggestions on  
> database design, table structure, etc.?  Any help or reference to  
> resources/references would be much appreciated.  At minimum I will  
> be setting up the database to store all futures data across all  
> asset classes (equities, bonds, commodities), forwards for bonds and  
> fx, spot prices series and yield series for those futures and bond  
> series.
>
> Thank you,
> Luca
>

This is an extremely-broad question, and so it is hard
to give a concise, useful answer. Some random pointers
(only on the R/database part; I have no idea what a
Bloomberg data licence allows you to do or not):

* First, there is of course the Rblpapi package (which
   you probably know, but did not mention).

* There is ample support for databases in R: packages
   that allow you to access external databases, such as
   RODBC, and also standalone solutions, such as
   MonetDBLite.

   Choosing a database is not easy, and it may pay to
   experiment with different ones. (It will be much more
   work to later migrate your data to another database.)
   Your considerations should include the type of data
   (see next point), and also how many users may want to
   access the data.

* Do you intent to store only time-series data? If yes,
   you may want to search the web (aka googling) for
   time-series databases; there are many discussions.

* If you plan to store time-series, at what frequency?
   As long as you have only daily data (i.e. no intraday
   data), many specialised time-series databases may be
   overkill. For instance, for daily data I found an
   ad-hoc storing/updating in CSV-files sufficient
   (https://github.com/enricoschumann/tsdb)

HTH



--
Enrico Schumann
Lucerne, Switzerland
http://enricoschumann.net

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