R: Using the R-bloomberg package to get market depth

问题

I am looking for a way to find market depth for a stock using the R-Bloomberg (Rbbg) package. As an example, if I enter "MSM" (a ticker) I would like to see the top, say, 5 bids and asks for MSM.

Would anyone be able to help me?

Thanks!

Mike

回答1:

You can use the BEST_ASKI and BEST_BIDI fields (where I can be 1 to 9), which update in real time. For example: BEST_ASK1 gives you the best offer, BEST_ASK2 the second best offer etc.

You obviously need to have the appropriate subscriptions to access that data through the API.

来源：https://stackoverflow.com/questions/21231362/r-using-the-r-bloomberg-package-to-get-market-depth