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signals

Retrieve signal information

Description

example

d = signals(c,code,universeid,startdate,enddate) returns signal information using an IHS Markit® connection, factor code, universe name, and date range.

example

d = signals(c,code,universeid,startdate,enddate,identifier) specifies the type of security to retrieve.

example

d = signals(c,code,universeid,startdate,enddate,identifier,datatype) specifies the data format for the returned signal information.

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d = signals(c,code,universeid,startdate,enddate,identifier,datatype,monthlydata) specifies retrieval of monthly data.

Examples

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Using an IHS Markit connection, retrieve signal information using a factor and date range within a specified universe.

Create an IHS Markit connection using your user name and password. c is an ihsmarkitrs object.

username = 'ABCDEF';
password = 'ABC123';
c = ihsmarkitrs(username,password);

Retrieve signal information for the last 10 days using the IHS Markit connection. Specify the ABR factor code and QSG World universe. ABR is a sample factor code and QSG World is a sample universe. To retrieve signal information for your code and universe combination, substitute the factor code in code and universe in universeid. The d workspace variable is a table that contains signal information and the date and data variables.

code = 'ABR';
universeid = 'QSG World';
startdate = datetime('today')-10;
enddate = datetime('today');
d = signals(c,code,universeid,startdate,enddate);

Access the first few rows of signal information for the first day in the date range by using the data variable.

data = d.data{1};
head(data)
ans =

  8×2 table

    ticker    value
    ______    _____

    'VIRT'      1  
    'SEDG'      1  
    'CRTO'      1  
    'BZUN'      1  
    'FNGN'      1  
    'CMG'       1  
    'INGN'      1  
    'ADAP'      1  

The variables of the resulting table are ticker and value. The ticker variable contains the ticker security identifiers. The value variable contains the signal information for the corresponding security.

Using an IHS Markit connection, retrieve signal information using a factor and date range within a specified universe. Specify the SEDOL security type.

Create an IHS Markit connection using your user name and password. c is an ihsmarkitrs object.

username = 'ABCDEF';
password = 'ABC123';
c = ihsmarkitrs(username,password);

Retrieve signal information for the last 10 days using the IHS Markit connection. Specify the ABR factor code and QSG World universe. ABR is a sample factor code and QSG World is a sample universe. To retrieve signal information for your code and universe combination, substitute the factor code in code and universe in universeid. Also, specify the SEDOL security type. d is a table that contains signal information and the date and data variables.

code = 'ABR';
universeid = 'QSG World';
startdate = datetime('today')-10;
enddate = datetime('today');
identifier = 'sedol';
d = signals(c,code,universeid,startdate,enddate,identifier);

Access the first few rows of signal information for the first day in the date range by using the data variable.

data = d.data{1};
head(data)
ans =

  8×2 table

     sedol      value
    ________    _____

    'BWTVWD'      1  
    'BWC52Q'      1  
    'BFPMB2'      1  
    'BY2ZJ6'      1  
    'B65V2X'      1  
    'B0X7DZ'      1  
    'BJSVLL'      1  
    'BWY4XV'      1  

The variables of the resulting table are sedol and value. The sedol variable contains the SEDOL security identifiers. The value variable contains the signal information for the corresponding security.

Using an IHS Markit connection, retrieve signal information using a factor and date range within a specified universe. Specify the SEDOL security type and z-score data format.

Create an IHS Markit connection using your user name and password. c is an ihsmarkitrs object.

username = 'ABCDEF';
password = 'ABC123';
c = ihsmarkitrs(username,password);

Retrieve signal information for the last 10 days using the IHS Markit connection. Specify the ABR factor code and QSG World universe. ABR is a sample factor code and QSG World is a sample universe. To retrieve signal information for your code and universe combination, substitute the factor code in code and universe in universeid. Also, specify the SEDOL security type and z-score data format. d is a table that contains signal information and the date and data variables.

code = 'ABR';
universeid = 'QSG World';
startdate = datetime('today')-10;
enddate = datetime('today');
identifier = 'sedol';
datatype = 'zscore';
d = signals(c,code,universeid,startdate,enddate,identifier,datatype);

Access the first few rows of signal information for the first day in the date range by using the data variable.

data = d.data{1};
head(data)
ans =

  8×2 table

     sedol       value  
    ________    ________

    'B44WZD'     0.63461
    'B4MG4Z'     0.43807
    '281355'     -3.3183
    'BF4VWH'     0.94079
    'B92SR7'     0.80995
    'BWY4XV'      3.1591
    'B1VZ43'    -0.25296
    '236542'    -0.77368

The variables of the resulting table are sedol and value. The sedol variable contains the SEDOL security identifiers. The value variable contains the signal information for the corresponding security as a z-score.

Using an IHS Markit connection, retrieve monthly signal information using a factor and date range within a specified universe. Specify the SEDOL security type and z-score data format.

Create an IHS Markit connection using your user name and password. c is an ihsmarkitrs object.

username = 'ABCDEF';
password = 'ABC123';
c = ihsmarkitrs(username,password);

Retrieve signal information for the last 3 months using the IHS Markit connection. Specify the ABR factor code and QSG World universe. ABR is a sample factor code and QSG World is a sample universe. To retrieve signal information for your code and universe combination, substitute the factor code in code and universe in universeid. Also, specify the SEDOL security type and z-score data format. d is a table that contains signal information and the date and data variables.

code = 'ABR';
universeid = 'QSG World';
startdate = datetime('today')-90;
enddate = datetime('today');
identifier = 'sedol';
datatype = 'zscore';
monthlydata = 'true';
d = signals(c,code,universeid,startdate,enddate, ...
    identifier,datatype,monthlydata);

Access the first few rows of signal information for the first month in the date range by using the data variable.

data = d.data{1};
head(data)
ans =

  8×2 table

     sedol       value  
    ________    ________

    'B44WZD'     0.44178
    'B4MG4Z'     -1.2075
    '281355'     0.43517
    'BF4VWH'     0.91456
    'B92SR7'       2.065
    '256652'     0.49538
    'B1VZ43'    -0.26471
    'BFRTDG'    -0.69078

The variables of the resulting table are sedol and value. The sedol variable contains the SEDOL security identifiers. The value variable contains the signal information for the corresponding security as a z-score.

Input Arguments

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IHS Markit connection, specified as an ihsmarkitrs object.

Factor code, specified as a character vector or string scalar.

Example: "ABR"

Data Types: char | string

Universe name, specified as a character vector or string scalar.

Example: 'US Total Cap'

Data Types: char | string

Start date for a data request, specified as a datetime array, numeric scalar, character vector, or string scalar.

Example: "2017-01-01"

Data Types: double | char | string | datetime

End date for a data request, specified as a datetime array, numeric scalar, character vector, or string scalar.

Example: "2017-12-31"

Data Types: double | char | string | datetime

Security type to retrieve, specified as one or more of these values: 'ticker', 'cusip', or 'sedol'. You can specify these values as a character vector, string scalar, cell array of character vectors, or string array.

Data format, specified as one of these values.

Data Format ValueDescriptionCalculation

"percentile"

Percentile rank (from 1 through 100) of the factor

Rank the securities in the universe into percentiles, by using the factor value, in ascending or descending order based on the definition. The signals function ranks the securities with the most attractive value as 1 and securities with the least attractive value as 100.

"rawratio"

Raw value of the factor

The numeric output of the factor calculation.

"rawrank"

Ordinal rank (from 1 through n) of the factor

Rank the securities in the universe in ordinal order, by using the factor value, in ascending or descending order based on the definition.

"zscore"

Z-score of the factor

Determine the mean and standard deviation of all factor values in the universe on the specified date. Then, subtract the mean from the factor value of the security and divide the result by the standard deviation.

You can specify each value as a character vector or string scalar.

Monthly indicator, specified as the value "true" or "false". When the monthlydata input argument is "true", the signals function returns monthly data. Otherwise, the signals function returns daily data.

Output Arguments

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Signal information, returned as a table with the date and data variables. The date variable contains each date in the specified date range. If you specify monthly data using the monthlydata input argument, then the date variable contains one row for each month. The data variable contains a table of data for each corresponding date. To access the data for the first day in the date range, use dot notation, for example: d.data{1}.

Introduced in R2018b