include.non.trading.days = TRUE not returning non-trading days.

[jtmyers586]

I am trying to get daily price information from Bloomberg for a time series which includes weekends. Within Bloomberg's spreadsheet builder, the optional parameter is Alignment Calendar: 7D-7 BUS DAY NO HOLIDAY.

My assumption is that the following should work, where each of fields correctly pulls the data.

        bdh(
          con = con,
          securities = bloomberg_file$Ticker[i],
          fields = bloomberg_file$Data_Type[i],
          start.date = sdate,
          end.date = edate,
          include.non.trading.days = TRUE,
          options = c("periodicitySelection" = "DAILY")
        )

The above code does not include non-trading days. When digging through older Q's I found some conversation on this dating back to 2016 with no resolution. What can I do to resolve this issue?

Johnny

[armstrtw]

Have you tried passing 7D-7 BUS DAY NO HOLIDAY in the options?

[klin333]

any example ids?

If a security has prices on weekends, it should be returned by bdh by default? see example below.

Rblpapi::bdh('XBTUSD Curncy', 'px_last', as.Date('2022-06-01'), as.Date('2022-06-15'))
         date  px_last
1  2022-06-01 31536.68
2  2022-06-02 30008.35
3  2022-06-03 29793.14
4  2022-06-04 29703.51
5  2022-06-05 29626.05
6  2022-06-06 31462.05
7  2022-06-07 29578.62
8  2022-06-08 30368.18
9  2022-06-09 30408.67
10 2022-06-10 29973.15
11 2022-06-11 28886.39
12 2022-06-12 27406.19
13 2022-06-13 23936.07
14 2022-06-14 22348.38
15 2022-06-15 20538.67

If a security has no data on weekends or holidays (or just missing data), you can fill it like this for all calendar days.

Rblpapi::bdh('BBSW3M Index', 'px_last', as.Date('2022-01-01'), as.Date('2022-01-15'))
        date px_last
1 2022-01-04  0.0649
2 2022-01-05  0.0650
3 2022-01-06  0.0693
4 2022-01-07  0.0673
5 2022-01-10  0.0683
6 2022-01-11  0.0663
7 2022-01-12  0.0662
8 2022-01-13  0.0650
9 2022-01-14  0.0728

Rblpapi::bdh('BBSW3M Index', 'px_last', as.Date('2022-01-01'), as.Date('2022-01-15'), options = c('nonTradingDayFillOption' = 'ALL_CALENDAR_DAYS'))
         date px_last
1  2022-01-01  0.0677
2  2022-01-02  0.0677
3  2022-01-03  0.0677
4  2022-01-04  0.0649
5  2022-01-05  0.0650
6  2022-01-06  0.0693
7  2022-01-07  0.0673
8  2022-01-08  0.0673
9  2022-01-09  0.0673
10 2022-01-10  0.0683
11 2022-01-11  0.0663
12 2022-01-12  0.0662
13 2022-01-13  0.0650
14 2022-01-14  0.0728
15 2022-01-15  0.0728

Other ways of filling data

bdh_fill_opt <- function(fill_opt, fill_with_prev = TRUE) {
  # see bloomberg developer guide pdf
  fill_opt <- match.arg(fill_opt, c(
    'NON_TRADING_WEEKDAYS', # if date is non trading date but is mon-fri, it will be returned
    'ALL_CALENDAR_DAYS',
    'ACTIVE_DAYS_ONLY'
  ))
  opt <- c('nonTradingDayFillOption' = fill_opt)
  if (!fill_with_prev) {
    opt <- c(opt, 'nonTradingDayFillMethod' = 'NIL_VALUE')
  }
  opt
}

If you just want to show the calendar days without actually filling them with previous day's data

Rblpapi::bdh('BBSW3M Index', 'px_last', as.Date('2022-01-01'), as.Date('2022-01-15'), options = bdh_fill_opt('ALL_CALENDAR_DAYS', fill_with_prev = F))
         date px_last
1  2022-01-01      NA
2  2022-01-02      NA
3  2022-01-03      NA
4  2022-01-04  0.0649
5  2022-01-05  0.0650
6  2022-01-06  0.0693
7  2022-01-07  0.0673
8  2022-01-08      NA
9  2022-01-09      NA
10 2022-01-10  0.0683
11 2022-01-11  0.0663
12 2022-01-12  0.0662
13 2022-01-13  0.0650
14 2022-01-14  0.0728
15 2022-01-15      NA