Why am I not able to access Bloomberg trade data outside of market hours using Datafeed Toolbox 3.2 (R2008b)?

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MathWorks Support Team 2011-12-16

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https://ww2.mathworks.cn/matlabcentral/answers/95007-why-am-i-not-able-to-access-bloomberg-trade-data-outside-of-market-hours-using-datafeed-toolbox-3-2

编辑： MathWorks Support Team 2017-1-25

I am not able to access trade data using the following code outside of market hours. I am using the following code for this

c=bloomberg;
a = fetch(c,'C Equity','TIMESERIES',{'05/20/2011 04:00','05/20/2011 09:30'});

However, I am able to access the BID and ASK data without any issues. I faced a similar issue with Excel, but found a workaround for it by using the following BDH code

BDH("SPY US EQUITY","BID, TRADE, ASK","5/20/2011 9:00:00 AM","5/20/2011 9:29:59 AM","Dir=V","Dts=S","Sort=A","IntrRw=True","CondCodes=S","QRM=S","ExchCode=H","BrkrCodes=H","RPSCodes=H","BICMICCodes=H","Type=S","Price=S","Size=S")

"CondCodes=S"and "QRM=S" are the condition code used to display all the trades pre and post market.

When I Used, "CondCodes=H"and "QRM=H" I saw the same issue as with MATLAB.

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Answer 1

MathWorks Support Team 2017-1-25

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The old Bloomberg V2 API which MATLAB supports with the BLOOMBERG constructor and FETCH method, it does not support the ConditionCodes or QRM flags (or any of these flags for that matter). To get this functionality, you need to move to the new BLP constructor and TIMESERIES method that use the Bloomberg V3 API.

The syntax is

c = blp;
d = timeseries(c,'SPY US Equity',{'05/20/2011 09:29:57','05/20/2011 09:29:59'},[],{'BID','ASK','TRADE'},{'includeConditionCodes','includeNonPlottableEvents'},{true,true});