timeseries
Intraday tick data for Bloomberg connection V3
Syntax
Description
Examples
Retrieve Tick Data for Specific Date and Pricing Source
First, create a Bloomberg® Desktop connection. Then, retrieve tick data for a specific date. Use a security with and without a pricing source to retrieve tick data.
Create the Bloomberg connection.
c = blp;
Alternatively, you can connect to the Bloomberg Server using blpsrv
or Bloomberg
B-PIPE® using bpipe
.
Retrieve the trade tick series using the IBM® security for today.
d = timeseries(c,'IBM US Equity',floor(now))
d = 'TRADE' [735537.40] [181.69] [100.00] 'TRADE' [735537.40] [181.69] [100.00] 'TRADE' [735537.40] [181.68] [100.00] ...
The columns in d
are:
Tick type
Numeric representation of the date and time
Tick value
Tick size
Here, the first row shows that 100 IBM shares sold for $181.69 today.
Retrieve the trade tick series using the Microsoft® security with pricing source ETPX
for
today.
d = timeseries(c,'MSFT@ETPX US Equity',floor(now))
d = 'TRADE' [735537.40] [35.53] [100.00] 'TRADE' [735537.40] [35.55] [200.00] 'TRADE' [735537.40] [35.55] [100.00] ...
Here, the first row shows that 100 Microsoft shares are sold for $35.53 today.
Close the Bloomberg connection.
close(c)
Time Interval with Specific Field
First, create a Bloomberg Desktop connection. Then, retrieve tick data for a specific date. Specify the tick data to return using a time interval and field.
Create the Bloomberg connection.
c = blp;
Alternatively, you can connect to the Bloomberg Server using blpsrv
or Bloomberg
B-PIPE using bpipe
.
Retrieve the trade tick series using the IBM security aggregated into 5-minute intervals for today.
d = timeseries(c,'IBM US Equity',floor(now),5,'Trade')
d = Columns 1 through 7 735537.40 181.69 181.99 180.10 181.84 252322.00 861.00 735537.40 181.90 181.97 181.57 181.65 78570.00 535.00 735537.40 181.73 182.18 181.58 182.07 124898.00 817.00 ... Column 8 45815588.00 14282076.00 22710954.00 ...
The columns in d
contain the following:
Numeric representation of date and time
Open price
High price
Low price
Closing price
Volume of ticks
Number of ticks
Total tick value in the bar
Here, the first row of data shows prices and tick data for the current date. The next row shows tick data for 5 minutes later.
Close the Bloomberg connection.
close(c)
Retrieve Tick Data Using Option and Value
First, create a Bloomberg Desktop connection. Then, retrieve tick data for a specific date and field. Use option and value to return additional data.
Create the Bloomberg connection.
c = blp;
Alternatively, you can connect to the Bloomberg Server using blpsrv
or Bloomberg
B-PIPE using bpipe
.
Retrieve the trade tick series using the 'F US Equity'
security without specifying the aggregation parameter for today. Also,
return the condition codes.
d = timeseries(c,'F US Equity',floor(now),[],'Trade',... 'includeConditionCodes','true')
d = 'TRADE' [735556.57] [17.12] [ 100.00] 'R6,IS' 'TRADE' [735556.57] [17.12] [ 100.00] '' 'TRADE' [735556.57] [17.12] [ 500.00] '' ...
The columns in d
contain the following:
Tick type
Numeric representation of the date and time
Tick value
Tick size
Condition codes
Here, the first row shows that 100 'F US Equity'
security shares sold for $17.12 today.
Close the Bloomberg connection.
close(c)
Retrieve Tick Data Using Date Range
First, create a Bloomberg Desktop connection. Then, retrieve tick data for a specific date range.
Create the Bloomberg connection.
c = blp;
Alternatively, you can connect to the Bloomberg Server using blpsrv
or Bloomberg
B-PIPE using bpipe
.
Retrieve the tick series for the 'F US Equity'
security
for the last business day from the beginning of the day to noon.
d = timeseries(c,'F US Equity',{floor(now-4),floor(now-3.5)})
d = 'TRADE' [735552.67] [17.09] [ 200.00] 'TRADE' [735552.67] [17.09] [ 100.00] 'TRADE' [735552.67] [17.09] [ 100.00] ...
The columns in d
are:
Tick type
Numeric representation of the date and time
Tick value
Tick size
Here, the first row shows that 200 'F US
Equity'
security shares were sold for $17.09 on the last
business day.
Close the Bloomberg connection.
close(c)
Date Range with Interval and Specific Field
First, create a Bloomberg Desktop connection. Then, retrieve tick data for a specific date range. Specify the interval and field.
Create the Bloomberg connection.
c = blp;
Alternatively, you can connect to the Bloomberg Server
using blpsrv
or Bloomberg B-PIPE using bpipe
.
Retrieve the trade tick series for the past 50 days for the IBM security aggregated into 5-minute intervals.
d = timeseries(c,'IBM US Equity',{floor(now)-50,floor(now)},5,'Trade')
ans = Columns 1 through 7 735487.40 187.20 187.60 187.02 187.08 207683.00 560.00 735487.40 187.03 187.13 186.65 186.78 46990.00 349.00 735487.40 186.78 186.78 186.40 186.47 51589.00 399.00 ... Column 8 38902968.00 8779374.00 9626896.00 ...
The columns in d
contain the following:
Numeric representation of date and time
Open price
High price
Low price
Closing price
Volume of ticks
Number of ticks
Total tick value in the bar
The first row of data shows prices and tick data for the current date. The next row shows tick data for 5 minutes later.
Close the Bloomberg connection.
close(c)
Date Range with Numerous Fields
First, create a Bloomberg Desktop connection. Then, retrieve tick data for a specific date range and numerous fields.
Create the Bloomberg connection.
c = blp;
Alternatively, you can connect to the Bloomberg Server using blpsrv
or Bloomberg
B-PIPE using bpipe
.
Return the Bid, Ask, and trade tick series for the security 'F US
Equity'
for yesterday with a time interval at noon, without
specifying the aggregation parameter.
d = timeseries(c,'F US Equity',{floor(now-1)+.5,floor(now-1)+.51},... [],{'Bid','Ask','Trade'})
d = 'TRADE' [735550.50] [16.71] [100.00] 'ASK' [735550.50] [16.71] [312.00] 'BID' [735550.50] [16.70] [177.00] ...
The columns in d
are:
Tick type
Numeric representation of the date and time
Tick value
Tick size
Here, the first row shows that 100 'F US
Equity'
security shares sold for $16.71 yesterday.
Close the Bloomberg connection.
close(c)
Date Range with Options and Values
First, create a Bloomberg Desktop connection. Then, retrieve tick data for a specific date range. Specify options and values to return additional data.
Create the Bloomberg connection.
c = blp;
Alternatively, you can connect to the Bloomberg Server using blpsrv
or Bloomberg
B-PIPE using bpipe
.
Return the trade tick series for the security 'F US
Equity'
for yesterday with a time interval at noon, without
specifying the aggregation parameter. Also, return the condition codes,
exchange codes, and broker codes.
d = timeseries(c,'F US Equity',{floor(now-1)+.5,floor(now-1)+.51},... [],'Trade',{'includeConditionCodes',... 'includeExchangeCodes','includeBrokerCodes'},... {'true','true','true'})
d = 'TRADE' [735550.50] [16.71] [100.00] 'T' 'D' 'TRADE' [735550.50] [16.70] [400.00] 'IS' 'B' 'TRADE' [735550.50] [16.70] [100.00] 'IS' 'B' ...
The columns in d
contain the following:
Tick type
Numeric representation of the date and time
Tick value
Tick size
Exchange condition codes
Exchange codes
Broker codes are available for Canadian, Finnish, Mexican, Philippine, and Swedish equities only. In this case, the broker buy code appears in the seventh column and the broker sell code appears in the eighth column.
Here, the first row shows that 100 'F US Equity'
security shares sold for $16.71 yesterday.
Close the Bloomberg connection.
close(c)
Date and Time Range with Interval
Use Bloomberg® to retrieve raw trade tick data by specifying a time range for each day in a specific date range. Specify the time interval for the tick data.
Create the Bloomberg® connection.
c = blp;
Alternatively, you can connect to Bloomberg® Server using blpsrv
or Bloomberg® B-PIPE® using bpipe
.
Retrieve the trade tick series for the 'F US Equity'
security for the last two days. Use the time range from the beginning of the trading day through noon. Retrieve tick data aggregated into 5-minute intervals. d
is a numeric matrix.
s = 'F US Equity'; startdate = datetime('today')-1; enddate = datetime('today'); starttime = "09:30:00"; endtime = "12:00:00"; interval = 5; d = timeseries(c,s,{startdate:enddate,starttime,endtime},interval);
Set the display output for currency.
format bank
Display the first three ticks.
d(1:3,:)
ans = Columns 1 through 5 736959.40 11.71 11.81 11.71 11.79 736959.40 11.79 11.81 11.75 11.79 736959.40 11.80 11.82 11.78 11.80 Columns 6 through 8 1375547.00 1190.00 16196757.00 598924.00 898.00 7058724.00 488655.00 641.00 5768371.50
The columns in d
are:
Numeric representation of date and time
Open price
High price
Low price
Closing price
Volume of ticks
Number of ticks
Total tick value in the bar
The first row shows tick data at the start time of the time range. The next row shows tick data for 5 minutes later.
Determine the maximum high price for the last two days.
highprices = d(:,3); m = max(highprices)
m = 11.82
Close the Bloomberg® connection.
close(c)
Date and Time Range with Interval and Specific Field
Use Bloomberg® to retrieve raw tick data by specifying a time range for each day in a specific date range. Specify the time interval and the field for the type of tick data to return. Here, specify the bid tick data.
Create the Bloomberg® connection.
c = blp;
Alternatively, you can connect to Bloomberg® Server using blpsrv
or Bloomberg® B-PIPE® using bpipe
.
Retrieve the tick series for the 'F US Equity'
security for the last two days. Use the time range from the beginning of the trading day through noon. Retrieve tick data aggregated into 5-minute intervals. Specify retrieving the bid tick series. d
is a numeric matrix.
s = 'F US Equity'; startdate = datetime('today')-1; enddate = datetime('today'); starttime = "09:30:00"; endtime = "12:00:00"; interval = 5; field = 'BID'; d = timeseries(c,s,{startdate:enddate,starttime,endtime},interval,field);
Set the display output for currency.
format bank
Display the first three ticks.
d(1:3,:)
ans = Columns 1 through 5 736959.40 11.70 11.80 11.70 11.79 736959.40 11.79 11.80 11.75 11.79 736959.40 11.79 11.81 11.78 11.80 Columns 6 through 8 397711.00 1442.00 4681704.50 450997.00 1698.00 5311330.50 464761.00 1391.00 5481707.50
The columns in d
are:
Numeric representation of date and time
Open price
High price
Low price
Closing price
Volume of ticks
Number of ticks
Total tick value in the bar
The first row shows tick data at the start time of the time range. The next row shows tick data for 5 minutes later.
Determine the maximum high price for the last two days.
highprices = d(:,3); m = max(highprices)
m = 11.81
Close the Bloomberg® connection.
close(c)
Date and Time Range with Day Increment and Interval
Use Bloomberg® to retrieve raw trade tick data by specifying a time range for each day in a specific date range. Specify a day increment for the date range and the time interval for the tick data.
Create the Bloomberg® connection.
c = blp;
Alternatively, you can connect to Bloomberg® Server using blpsrv
or Bloomberg® B-PIPE® using bpipe
.
Retrieve the trade tick series for the 'IBM US Equity'
security for the last two months. Set the day increment to 5 days. Use the time range from the beginning of the trading day through noon. Retrieve tick data aggregated into 5-minute intervals. d
is a numeric matrix.
s = 'IBM US Equity'; startdate = datetime('today')-60; enddate = datetime('today'); dayincrement = 5; starttime = "09:30:00"; endtime = "12:00:00"; interval = 5; d = timeseries(c,s,{startdate:dayincrement:enddate,starttime,endtime}, ... interval);
Set the display output for currency.
format bank
Display the first three ticks.
d(1:3,:)
ans = Columns 1 through 5 736900.40 147.00 147.04 146.55 146.62 736900.40 146.62 146.87 146.62 146.71 736900.40 146.72 146.79 146.52 146.54 Columns 6 through 8 125558.00 393.00 18440146.00 39535.00 258.00 5800969.00 49659.00 314.00 7282961.00
The columns in d
are:
Numeric representation of date and time
Open price
High price
Low price
Closing price
Volume of ticks
Number of ticks
Total tick value in the bar
The first row shows tick data at the start time of the time range. The next row shows tick data for 5 minutes later.
After the tick data for the first day in the date range, d
contains tick data for a trading day that is 5 days later.
Close the Bloomberg® connection.
close(c)
Date and Time Range with Day Increment, Interval, and Specific Field
Use Bloomberg® to retrieve raw tick data by specifying a time range for each day in a specific date range. Specify a day increment for the date range, the time interval for the tick data, and the field for the type of tick data to return. Here, specify the bid tick data.
Create the Bloomberg® connection.
c = blp;
Alternatively, you can connect to Bloomberg® Server using blpsrv
or Bloomberg® B-PIPE® using bpipe
.
Retrieve the trade tick series for the 'F US Equity'
security for the last two months. Set the day increment to 5 days. Use the time range from the beginning of the trading day through noon. Retrieve tick data aggregated into 5-minute intervals. Specify the bid tick series. d
is a numeric matrix.
s = 'F US Equity'; startdate = datetime('today')-60; enddate = datetime('today'); dayincrement = 5; starttime = "09:30:00"; endtime = "12:00:00"; interval = 5; field = 'BID'; d = timeseries(c,s,{startdate:dayincrement:enddate,starttime,endtime}, ... interval,field);
Set the display output for currency.
format bank
Display the first three ticks.
d(1:3,:)
ans = Columns 1 through 5 736900.40 11.50 11.54 11.49 11.50 736900.40 11.50 11.50 11.48 11.48 736900.40 11.48 11.49 11.44 11.44 Columns 6 through 8 422305.00 1158.00 4863894.00 575966.00 1180.00 6617854.00 288147.00 1489.00 3305491.75
The columns in d
are:
Numeric representation of date and time
Open price
High price
Low price
Closing price
Volume of ticks
Number of ticks
Total tick value in the bar
The first row shows tick data at the start time of the time range. The next row shows tick data for 5 minutes later.
After the tick data for the first day in the date range, d
contains tick data for a trading day that is 5 days later.
Close the Bloomberg® connection.
close(c)
Return Tick Data as Table with Dates
Create a Bloomberg® connection, and then return intraday tick data. The timeseries
function returns data for dates as a datetime
array.
Create the Bloomberg connection.
c = blp;
Alternatively, you can connect to the Bloomberg Server using blpsrv
or Bloomberg B-PIPE® using bpipe
.
Return data as a table by setting the DataReturnFormat
property of the connection object. If you do not set this property, the timeseries
function returns data as a numeric array.
Return dates as a datetime
array by setting the DatetimeType
property of the connection object. In this case, the table contains dates in variables that are datetime
arrays.
c.DataReturnFormat = 'table'; c.DatetimeType = 'datetime';
Adjust the display format of the returned data for currency.
format bank
Retrieve the trade tick series for the IBM® security aggregated into 5-minute intervals for today. d
is a table that contains the tick series data.
s = 'IBM US Equity'; date = floor(now); interval = 5; field = 'Trade'; d = timeseries(c,s,date,interval,field);
Access the first three ticks of data.
d(1:3,:)
ans = 3×8 table DATE OPEN HIGH LOW CLOSE VOLUME NUMBER_OF_TICKS TOTAL_VALUE ___________ ______ ______ ______ ______ _________ _______________ ___________ 21-Dec-2017 153.17 153.31 153.08 153.31 152524.00 442.00 23367632.00 21-Dec-2017 153.35 153.35 152.82 152.84 46051.00 291.00 7048618.50 21-Dec-2017 152.84 153.21 152.82 153.16 30966.00 225.00 4737307.50
d
contains columns with the following data:
Date
Open price
High price
Low price
Closing price
Volume
Number of ticks
Total tick value in the bar
Access the first three dates in the DATE
column.
d.DATE(1:3)
ans = 3×1 datetime array 21-Dec-2017 21-Dec-2017 21-Dec-2017
Close the Bloomberg connection.
close(c)
Return Tick Data as Timetable
Create a Bloomberg® connection, and then return intraday tick data. The timeseries
function returns data for dates as a timetable
.
Create the Bloomberg connection.
c = blp;
Alternatively, you can connect to the Bloomberg Server using blpsrv
or Bloomberg B-PIPE® using bpipe
.
Return data as a timetable
by setting the DataReturnFormat
property of the connection object. If you do not set this property, the timeseries
function returns data as a numeric array.
c.DataReturnFormat = 'timetable';
Adjust the display format of the returned data for currency.
format bank
Retrieve the trade tick series for the IBM® security aggregated into 5-minute intervals for today. d
is a timetable
that contains the tick series data.
s = 'IBM US Equity'; date = floor(now); interval = 5; field = 'Trade'; d = timeseries(c,s,date,interval,field);
Access the first three ticks of data.
d(1:3,:)
ans = 3×7 timetable DATE OPEN HIGH LOW CLOSE VOLUME NUMBER_OF_TICKS TOTAL_VALUE ___________ ______ ______ ______ ______ _________ _______________ ___________ 21-Dec-2017 153.17 153.31 153.08 153.31 152524.00 442.00 23367632.00 21-Dec-2017 153.35 153.35 152.82 152.84 46051.00 291.00 7048618.50 21-Dec-2017 152.84 153.21 152.82 153.16 30966.00 225.00 4737307.50
d
is a timetable
that contains the following data:
Date
Open price
High price
Low price
Closing price
Volume
Number of ticks
Total tick value in the bar
Close the Bloomberg connection.
close(c)
Input Arguments
s
— Security
character vector | string scalar
Security, specified as a character vector or string scalar for a single Bloomberg security.
Data Types: char
| string
date
— Date
numeric scalar | character vector | string scalar | datetime
array
Date, specified as a numeric scalar, character vector, string scalar, or
datetime
array. date
specifies
the date for the returned tick data based on the entire day from midnight
until 11:59:59 p.m.
Example: floor(now)
Data Types: double
| char
| string
| datetime
interval
— Time interval
numeric scalar
Time interval, specified as a numeric scalar to denote the number of minutes between ticks for the returned tick data.
Data Types: double
field
— Bloomberg field
'TRADE'
(default) | 'BID'
| 'ASK'
| ...
Bloomberg field, specified as one of these values that define the tick data to return.
Request Type | Valid Bloomberg Field Values |
---|---|
IntradayBarRequest with time interval specified | 'TRADE' |
'BID' | |
'ASK' | |
'BID_BEST' | |
'ASK_BEST' | |
IntradayTickRequest with no time interval specified | 'TRADE' |
'BID' | |
'ASK' | |
'BID_BEST' | |
'ASK_BEST' | |
'SETTLE' |
options
— Bloomberg API options
'includeConditionCodes'
| 'includeExchangeCodes'
| 'includeBrokerCodes'
| ...
Bloomberg API options, specified as one of the values in this table.
Value | Description |
---|---|
| Exchange condition codes associated with the event |
| Exchange code where tick originated |
| Broker code |
| Reporting party side |
| After-hours data |
Note
The value 'includeNonPlottableEvents'
applies
to raw intraday requests only.
To specify more than one Bloomberg API option, use a cell array of these values.
Specify the corresponding Bloomberg API value for each API option. The number of options must match the number of values.
For example, to specify one Bloomberg API option, enter:
d = timeseries(c,'F US Equity',floor(now),[],'Trade',... 'includeConditionCodes','true');
To specify two Bloomberg API options, enter:
d = timeseries(c,'F US Equity',floor(now),[],'Trade',... {'includeConditionCodes','includeExchangeCodes'},... {'true','true'});
For details about the options, see the Bloomberg API Developer’s Guide.
Data Types: char
| cell
values
— Bloomberg API values
'true'
| 'false'
Bloomberg API values, specified as 'true'
or
'false'
. Each value corresponds to the specified
Bloomberg API option. To specify more than one Bloomberg API value, use a cell array. The number of values must match
the number of options.
For example, to specify one Bloomberg API option, enter:
d = timeseries(c,'F US Equity',floor(now),[],'Trade',... 'includeConditionCodes','true');
To specify two Bloomberg API options, enter:
d = timeseries(c,'F US Equity',floor(now),[],'Trade',... {'includeConditionCodes','includeExchangeCodes'},... {'true','true'});
Data Types: char
| cell
startdate
— Start date
numeric scalar | character vector | string scalar | datetime
array
Start date, specified as a numeric scalar, character vector, string
scalar, or datetime
array. This date specifies the
beginning of the date range for the returned tick data. If no ticks are
present in the date range, then returned tick data is empty.
Example: floor(now-1)
Data Types: double
| char
| string
| datetime
enddate
— End date
numeric scalar | character vector | string scalar | datetime
array
End date, specified as a numeric scalar, character vector, string scalar,
or datetime
array. This date specifies the end of the
date range for the returned tick data. If no ticks are present in the date
range, then returned tick data is empty.
Example: floor(now)
Data Types: double
| char
| string
| datetime
starttime
— Start time
character vector | string scalar | datetime
array
Start time, specified as a character vector, string scalar, or
datetime
array. This time specifies the start time of
the time range for the returned tick data.
Example: '09:30:00'
Data Types: char
| string
| datetime
endtime
— End time
character vector | string scalar | datetime
array
End time, specified as a character vector, string scalar, or
datetime
array. This time specifies the end time of
the time range for the returned tick data.
Example: '16:30:00'
Data Types: char
| string
| datetime
dayincrement
— Day increment
1 (default) | numeric scalar
Day increment, specified as a numeric scalar. This number specifies the whole day increment for a specific date range. For example, if the day increment is 7, then the returned data contains ticks for every 7th day starting from the first day within the date range.
Data Types: double
Output Arguments
d
— Bloomberg tick data
cell array | numeric array | table | timetable
Bloomberg tick data, returned as one of these data types:
Cell array for requests without a specified time interval (raw tick data)
Numeric array for requests with a specified time interval
table
timetable
The data type of the tick data depends on the DataReturnFormat and DatetimeType properties of the connection object.
Note
The Bloomberg API returns the tick time with precision in seconds.
Limitations
When the data request is too large, timeseries
displays this
error message:
Timeout error: Error using blp/timeseries>processResponseEvent (line 338) REQUEST FAILED: responseError = { source = bbdbl7 code = -2 category = TIMEOUT message = Timed out getting data from store [nid:327] subcategory = INTERNAL_ERROR }
To fix this error, shorten the length of the date range by modifying the input
arguments startdate
and enddate
.
Tips
For better performance, add the Bloomberg file
blpapi3.jar
to the MATLAB® static Java® class path by modifying the file$MATLAB/toolbox/local/javaclasspath.txt
. For details about the static Java class path, see Static Path of Java Class Path.You cannot retrieve Bloomberg intraday tick data for a date more than 140 days ago.
The Bloomberg API Developer’s Guide states that
'TRADE'
corresponds to LAST_PRICE for IntradayTickRequest and IntradayBarRequest.Bloomberg V3 intraday tick data supports additional name-value pairs. For details on these pairs, see the Bloomberg API Developer’s Guide by typing
WAPI
and clicking the <GO> button on the Bloomberg terminal.You can check data and field availability by using the Bloomberg Excel® Add-In.
Version History
Introduced in R2010a
See Also
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