Datafeed Toolbox

Key Features

  • Current, intraday, historical, and real-time market data access
  • Customizable data access by security lists, time periods, and other fields
  • Intraday tick data retrieval as a time series
  • Bloomberg BLP desktop, B-PIPE, and server connectivity
  • Thomson Reuters Eikon® desktop, RMDS, Datastream®, NewsScope, and Tick History connectivity
  • Connectivity to FactSet, Interactive Data, IQFeed, Kx Systems, SIX Financial Information, Yahoo! Finance, and other financial data providers
  • Haver Analytics and Federal Reserve Economic Data (FRED) economic data support
MATLAB plot of stock price and volume history accessed by Datafeed Toolbox.

MATLAB plot of stock price and volume history accessed by Datafeed Toolbox.

Working with Datafeed Toolbox

Datafeed Toolbox includes programmatic and interactive interfaces to access financial data. Both interfaces complete the process of communicating with a financial data server in three simple steps:

  1. Open a connection
  2. Specify query (search) parameters
  3. Retrieve the data

Command-Line Functions

The library of functions provides a consistent MATLAB programming interface for all supported financial data service providers. The functions let you customize queries to access all or selected fields from multiple securities over a specified time period. You can also retrieve intraday tick data for specified intervals and store it as time-series data.

Datafeed command line session showing financial market data retrieval for multiple securities and fields in a single function call.

Datafeed command-line session showing financial market data retrieval for multiple securities and fields in a single function call.

The datafeed functions let you integrate market data into your MATLAB program or application.

Example applications using data accessed from Datafeed Toolbox.

Example applications using data accessed from Datafeed Toolbox: data view and plots of most recent open orders with bid size and ask size (left), ticker plot of trade price and volume activity for a security (center), and timeline plot of trade price and volume for a security (right).

Datafeed Dialog Box

Datafeed Toolbox lets you manage server connections and data requests without programming. You can access multiple data fields from a chosen equity interactively and import them into MATLAB. The equivalent MATLAB statements required for the data request are displayed in the connection history. The toolbox currently supports Bloomberg, Interactive Data, and Yahoo! Finance.

A query of intraday ticks for current market data.

A query of intraday ticks for current market data.

Real-Time, Current, and Historical Data

Datafeed Toolbox supports two approaches for accessing data from data service providers:

  • Queries
  • Callbacks

Queries are used for retrieving data that is static or a snapshot in the past, such as current or historical data. MATLAB functions such as fetch, getdata, history, or timeseries retrieve data from the service provider immediately after the function is used and do not update with changing market conditions.

Access Data from Thomson Reuters Datastream 6:32
Connect MATLAB® with Thomson Reuters Datastream to retrieve global financial and macroeconomic data.

Callbacks are used for retrieving data that is dynamic, event-based, or streaming in nature, such as real-time data. The procedure for retrieving real-time data is to connect to the data service, create a query, and attach a callback (a MATLAB function) that will be executed each time data is received from the service provider.

Intraday Tick Data, Time-Series Databases, and Machine-Readable News

Datafeed Toolbox provides three approaches for retrieving tick data, time-series, and machine-readable news into MATLAB:

  • Directly import data from supported data service providers
  • Access data from Kx Systems databases
  • Import text files

Directly Import Data from Supported Data Service Providers

You can directly import intraday data using MATLAB functions that work with supported financial data service providers. You can directly import machine-readable news using Thomson Reuters and Bloomberg data services. The amount of intraday data and machine-readable news that can be imported varies by data service provider.

Example query of intraday tick data from Thomson Reuters.
Example query of intraday tick data from Thomson Reuters.

Accessing Data from Kx Systems Databases

You can retrieve time-series data from kdb+ databases to the MATLAB workspace or you can write data from MATLAB to kdb+ databases. To retrieve data, you create a connection, execute kdb+ commands to perform a query, and fetch results to return them to MATLAB. To write data, you establish a connection to kdb+ and call the insert function with the name of the table to write to from MATLAB.

Example query for retrieving data from a Kx Systems kdb+ database to MATLAB as a structure.
Example query for retrieving data from a Kx Systems kdb+ database to MATLAB as a structure.

Importing Text Files

Large amounts of historical intraday tick and machine-readable news can be retrieved from Thomson Reuters text file archives. Datafeed Toolbox provides two functions for importing data, in whole or in part, from the text archive files:

  • rdthloader – reads tick history data archive files
  • rnseloader – reads machine-readable news archive files

Alpha Generation Using Thomson Reuters News Sentiment and MATLAB 59:53
With the explosion of market data volumes and venues, quantitative trading firms face increasing data management complexities in their quest for alpha.

Supported Financial Data Service Providers

  Market Data Type
Data Service Provider Real Time Current Market Intraday Tick or
Time Series
Historical or
End-of-Day
Bloomberg Desktop
Bloomberg B-PIPE
Bloomberg Server
FactSet  
FactSet Data Server    
Federal Reserve Economic Data (FRED)      
Haver Analytics      
Interactive Data      
IQFeed
Kx Systems     Time-Series Database  
Reuters Machine Readable News (NewsScope)  
Reuters Market Data System (RMDS)  
Reuters Tick History      
SIX Financial Information  
Thomson Reuters Datastream      
Thomson Reuters Eikon
Yahoo! Finance    

Request support for additional data service providers

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