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I am trying to retrieve option data of a specific past day from Bloomberg, especially the volumes.

I pulled an Option chain ticker list from Bloomberg by:

ovr <- c("SINGLE_DATE_OVERRIDE"="20171201")
T_DBK_20171201 = bds("DBK GR Equity", "OPT_CHAIN", overrides=ovr)

which yielded tickers of all Options that where active at that day. However these are more than 1,700 different options and I want only those that where actually traded that day. For this I need the volume of each Option at that specific date.

I tried:

T_DBK_20171201$`volume` = NA
for (i in 1:ncol(T_DBK_20171201)){
  T_DBK_20171201$`volume` = bdp(T_DBK_20171201$`Security Description`,"VOLUME",overrides=ovr)
}

But it seems, the override is just ignored. I don't get an error and the volume column is filled with values. But those values are the volumes for theses options from today (I checked) and not from the 1. December 2017.

Maurice
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    You need to use bdh to retrieve historical data on volume. – assylias Jan 23 '19 at 13:36
  • thank you for the comment! But shouldn't it also work with bdp or bds? It worked with the Option chain. Also bdh doesn't fill up my column with values but instead with lists if I try this. – Maurice Jan 24 '19 at 08:29
  • not sure why option chain worked with bdp to be honest. I don't use R with Bloomberg so can't really comment on column vs list. – assylias Jan 25 '19 at 14:45

0 Answers0