For anyone who works with financial data and has access to a Bloomberg terminal, there is a new R package to interface to Bloomberg data services: RBlpapi. (If you had searched for an R connection to Bloomberg you wouldn’t have found this one — Bloomberg is happy to have software that connects to its public API, but not to use its name, apparently.)
One of the authors, Dirk Eddelbuettel, gave a presentation at at the R/Finance conference last month (you can take a look at the slides here). Here are a few examples of the types of queries you can perform, which generate time series data objects in R:
bdp(c("ESA Index", "SPY US Equity"), c("PX_LAST", "VOLUME"))
bds("GOOG US Equity", "TOP_20_HOLDERS_PUBLIC_FILINGS")
bdh("SPY US Equity", c("PX_LAST", "VOLUME"), start.date=Sys.Date()-31)
getBars("ESA Index", startTime=ISOdatetime(2015,1,1,0,0,0))
getTicks("ESA Index", "TRADE", Sys.time()-60*60))
The package is fast and lightweight (no Java required), and works well on Linux-based systems. Dirk reports that it's currently tricky to build on Windows, though: suggestions welcome in the comments or via the Github project linked below.