esig.timeseries - eSignal intraday tick data

Syntax

Description

D = timeseries(E,S,F,{startdate,enddate},per) returns the intraday data for the given inputs. Inputs include the security list S, the fields F, the dates startdate and enddate, and the periodicity per. Valid fields for F are Time, Open, High, Low, Close, Volume, OI, Flags, TickBid, TickAsk, and TickTrade. The periodicity per is optional and specifies the period of the data. For example, if you enter the value '1' for per, the returned data will be aggregated into 1-minute bars. Enter '30' for 30-minute bars and '60' for 60-minute bars.

D = timeseries(E,S,F,startdate) returns raw intraday tick data for the date range starting at startdate and ending with current day. Note that the date range can only extend back for a period of 10 days from the current day.

Tips

For intraday tick requests made with a period argument, per, the following fields are valid: Time, Open, High, Low, Close, Volume, OI, Flags, TickBid, TickAsk, and TickTrade.

For raw intraday tick requests, the following fields are valid: TickType, Time, Price, Size, Exchange, and Flags.

Examples

Return the monthly closing and high prices for the given dates for the given security in 10-minute bars.

D = timeseries(E,'ABC US Equity',{'close','high'},...
   {'1/01/2010','4/10/2010'},'10')

Return all fields for the given dates for the given security in 10 minute bars. Fields are returned in the following order: Time, Open, High, Low, Close, Volume, OI, Flags, TickBid, TickAsk, and TickTrade.

D = timeseries(E,'ABC US Equity',[],{'8/01/2009','8/10/2009'},'10')

Return five days of raw intraday tick data. All fields are returned in the following order: TickType, Time, Price, Size, Exchange, and Flags.

D = timeseries(E,'ABC US Equity',[],floor(now)-5)

See Also

esig | esig.close | esig.getdata | esig.history

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