How can I reorder data retrieved using GETDATA and HISTORY methods for Bloomberg V3 API using Datafeed Toolbox 3.5 (R2010a) to obtain prices in the requested order?

I am using the HISTORY command to retrieve data from Bloomberg V3 API and as discussed in related solution I am obtaining a different output order.

I'm using the following variables:

indMembers = Original securities list

FF = Prices retrieved from Bloomberg

SecList = New order of securities

I would like to reorder FF to obtain the original securities order I requested in indMembers.

Answer 1

[MathWorks Support Team]

Due to the new Bloomberg API the data are returned based on the first available one and not based on the original security input list.

Your outputs FF are ordered as in the variable SecList.

Consider the following two methods to reorder these prices accordingly to the original IndMembers list. Check the two attached documents.

The example "reordering.m" is based on a FOR loop:

%% Find sorting vector
% Compare the output string cell array with indMembers to find the actual
% reordering of securities. This reordering index can then be used to index
% into securities prices to reorder accordingly to indMembers.
IX = zeros(size(indMembers));
for i = 1 : length(indMembers)
IX(i) = strmatch(indMembers(i),SecList);
end

%% Reorder prices
FF_ord = FF(IX);

At each iteration I compare the original string with the full list of reordered securities to identify the new position that is collected in the variable IX. IX is then representing the permutation of the original list performed by the Bloomberg V3 API. This matrix can then be used to index into your prices to reorder them accordingly to your original list (indMembers).

The second attached solution is removing the FOR loop for a shorter approach based on the CELLFUN instruction:

https://www.mathworks.com/help/matlab/ref/cellfun.html

This is just a rewriting of the first example in a more compact form using the same operation on each single cell.