How to create a data frame with Rblpapi subscribe function - r

Question

I'm sorry this example won't be reproducible by those who aren't Bloomberg users.
For the others, I'm using Rblpapi and its subscribe function. I would like to create something like a data frame, a matrix or an array and fill it with values that are streamed by the subscription.
Assuming your BBComm component is up and running, my example says:
require(Rblpapi)
con <- blpConnect()
securities <- c('SX5E 07/20/18 C3400 Index',
'SX5E 07/20/18 C3450 Index',
'SX5E 07/20/18 C3500 Index')
I would like to fill a 3 x 2 matrix with these fields:
fields <- c('BID', 'ASK')
I guess I can create a matrix like this with almost no performance overhead:
mat <- matrix(data = NA,
nrow = 3,
ncol = 2)
Now I use subscribe and its argument fun for filling purposes, so something like this (albeit ugly to see and likely inefficient):
i <- 1
subscribe(securities = securities,
fields = fields,
fun = function(x){
if (i > length(securities))
i <<- 1
tryCatch(
expr = {
mat[i, 1] <<- x$data$BID
mat[i, 2] <<- x$data$ASK
i <<- i + 1
},
error = function(e){
message(e)
},
finally = {}
)
})
Result:
Error in subscribe_Impl(con, securities, fields, fun, options, identity) :
Evaluation error: number of items to replace is not a multiple of replacement length.
Of course, this doesn't work because I don't really know how to use indexing on streamed data. $ operator seems fine to retrieve data points by name - like I did with BID and ASK - but I cannot find a way to figure out which values are referring to, say, securities[1] or to securities[2]. It seems that I get a stream of numeric values that are indistinguishable one from each other because I cannot retrieve the ownership of the value among the securities.
Using an index on x$data$BID[1] throws the same error.

Answer 1

Ok your code looks fine, the only thing that does not work is x$data$BID, change to x$data["BID"] and then you can store it, Im working with your code and this is my result.
fields=c("TIME","LAST_PRICE", "BID", "ASK")
blpConnect()
blpConnect()
i <- 1
subscribe(securities = securities,
fields = fields,"interval=60",
fun = function(x){
if (i > length(securities))
i <<- 1
tryCatch(
expr = {
tim <- x$data["TIME"]
last <<- x$data["LAST_PRICE"]
ask <<- x$data["ASK"]
bid <<- x$data["BID"]
i <<- i + 1
},
error = function(e){
message(e)
},
finally = {}
)
print(cbind(tim$TIME,last$LAST_PRICE,ask$ASK, bid$BID))
})
result

Answer 2

A good way to take a look at the result object from the subscribe function is:
subscribe(securities=c("AAPL US Equity"),
fields=c("LAST_PRICE"),
fun=function(x) print(str(x)))
From there you can work your way into the data:
subscribe(securities=c("AAPL US Equity", "INTC US Equity"),
fields=c("LAST_PRICE","BID","ASK"),
fun=function(x) {
if (!is.null(x$data$MKTDATA_EVENT_TYPE) && x$data$MKTDATA_EVENT_TYPE == "TRADE" && exists("LAST_PRICE", where = x$data)) {
print(data.frame(Ticker = x$topic, DateTime = x$data$TRADE_UPDATE_STAMP_RT, Trade = x$data$LAST_PRICE))
}
})
I only printed the data.frame here. The data can be processed or stored directly using the FUN argument of subscribe.