blp.timeseries - Bloomberg V3 intraday tick data

Syntax

Description

d = timeseries(c,s,t) returns raw tick data, d, for the security s and connection object c for a specific date, t.

d = timeseries(c,s,{StartDate,EndDate}) returns raw tick data for the date range defined by StartDate and EndDate.

d = timeseries(c,s,t,b,f) returns tick data in intervals of b minutes for the field f. Intraday tick data requested over a certain interval is returned with columns representing Time, Open, High, Low, Last Price, Volume of Ticks, Number of Ticks, and Total Tick Value in the bar.

d = timeseries(c,s,t,[],f,{'api'},{'val'}) returns tick data for the field f. The cell array of api options can include any of includeConditionCodes, includeExchangeCodes, and includeBrokerCodes. You can set the corresponding cell array of values to true or false.

Tips

• For better performance, add the Bloomberg file blpapi3.jar to the MATLAB static Java class path by modifying the file $MATLAB/toolbox/local/classpath.txt. For more information about the static Java class path, see The Static Path in the MATLAB User's Guide.

• You cannot retrieve Bloomberg intraday tick data for a date more than 140 days ago.

Examples

Return today's time series for the given security:

d = timeseries(c,'ABC US Equity',floor(now))

The timestamp and tick value are returned.

Return today's Trade tick series for the given security aggregated into 5-minute intervals:

d = timeseries(c,'ABC US Equity',floor(now),5,'Trade')

Return the Trade tick series for the past 50 days for the given security aggregated into 5-minute intervals:

d = timeseries(c,'ABC US Equity',{floor(now)-50,...
   floor(now)},5,'Trade')

Return the Bid, Ask, and Trade tick series for the security RIM CT Equity on June 22, 2011 during a specified 5-minute interval, without specifying the aggregation parameter.

d = timeseries(c,'RIM CT Equity',{'06/22/2011 12:15:00',... 
   '06/22/2011 12:20:00'},[],{'Bid','Ask','Trade'})

Return the Trade tick series for the security RIM CT Equity on June 22, 2011 during a specified 5-minute interval. Also return the condition codes, exchange codes, and broker codes.

d = timeseries(c,'RIM CT Equity',{'06/22/2011 12:15:00',...
   '06/22/2011 12:20:00'},[],'Trade',...
   {'includeConditionCodes','includeExchangeCodes',...
    'includeBrokerCodes'},{'true','true','true'});

See Also

blp | blp.history | blp.realtime

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