From reviewing the documentation page in release R2017b it appears that example, and the data file it uses, were both introduced in release R2018a. I believe that was when the candle function was enhanced to support table and timetable inputs. The example doesn't appear in the R2017b version of the candle documentation.
To run that example you will need to use the release R2018a (or later) versions of MATLAB and Financial Toolbox.
