timeseries

SIX Financial Information intraday tick data

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Syntax

D = timeseries(c,s,t)
D = timeseries(c,s,{startdate,enddate})
D = timeseries(c,s,t,5)

Description

D = timeseries(c,s,t) returns the raw tick data for the SIX Financial Information connection object c, the security s, and the date t. Every trade, best, and ask tick is returned for the given date or date range.

example

D = timeseries(c,s,{startdate,enddate}) returns the raw tick data for the security s, for the date range defined by startdate and enddate.

D = timeseries(c,s,t,5) returns the tick data for the security s, for the date t in intervals of 5 minutes, for the field f. Intraday tick data requested is returned in 5-minute intervals, with the columns representing:

  • First

  • High

  • Low

  • Last

  • Volume weighted average

  • Moving average

Examples

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Retrieve SIX Financial Information intraday tick data for the past 2 days:

c = tlkrs('US12345','userapid01','userapid10')
d = timeseries(c,{'1758999,149,134'}, ...
   {floor(now)-.25,floor(now)})

Display the returned data:

d = 

    XRF: [1x1 struct]
     IL: [1x1 struct]
      I: [1x1 struct]
    TSL: [1x1 struct]
     TS: [1x1 struct]
      P: [1x1 struct]

d.I contains the instrument IDs, d.TS contains the date and time data, and d.P contains the pricing data.

Display the tick times:

d.TS.t(1:10)

ans = 

    '013500'
    '013505'
    '013510'
    '013520'
    '013530'
    '013540'
    '013550'
    '013600'
    '013610'
    '013620'

Display the field IDs:

d.P.k(1:10)
ans = 

    '3,4'
    '3,2'
    '3,3'
    '3,4'
    '3,2'
    '3,3'
    '3,4'
    '3,2'
    '3,3'
    '3,4'

Convert these IDs to field names (Mid, Bid, Ask) with tkidtofield:

d.P.k = tkidtofield(c,d.P.k,'history')

Load the file @tlkrs/tkfields.mat for a listing of the field names and corresponding IDs.

Display the corresponding tick values:

d.P.v(1:10)

ans = 

    '45.325'
    '45.32'
    '45.33'
    '45.325'
    '45.32'
    '45.33'
    '45.325'
    '45.32'
    '45.33'
    '45.325'

Input Arguments

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Connection object, specified as a tlkrs object.

Security, specified as a cell array of character vectors.

Date, specified as a serial date number.

Start date, specified as a serial date number.

End date, specified as a serial date number.

Version History

Introduced in R2011b

See Also

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