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
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
You can use the
BEST_ASKI
andBEST_BIDI
fields (whereI
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.