timeseries

SIX Financial Information intraday tick data

Syntax

D = timeseries(c,s,t)

D = timeseries(c,s,{startdate,enddate})

D = timeseries(c,s,t,5)

Description

D = timeseries(c,s,t) returns the raw tick data for the SIX Financial Information connection object c, the security s, and the date t. Every trade, best, and ask tick is returned for the given date or date range.

D = timeseries(c,s,{startdate,enddate}) returns the raw tick data for the security s, for the date range defined by startdate and enddate.

D = timeseries(c,s,t,5) returns the tick data for the security s, for the date t in intervals of 5 minutes, for the field f. Intraday tick data requested is returned in 5-minute intervals, with the columns representing:

• First

• High

• Low

• Last

• Volume weighted average

• Moving average

Examples

Retrieve Intraday Tick Data

Retrieve SIX Financial Information intraday tick data for the past 2 days:

c = tlkrs('US12345','userapid01','userapid10')
d = timeseries(c,{'1758999,149,134'}, ...
   {floor(now)-.25,floor(now)})

Display the returned data:

d = 

    XRF: [1x1 struct]
     IL: [1x1 struct]
      I: [1x1 struct]
    TSL: [1x1 struct]
     TS: [1x1 struct]
      P: [1x1 struct]

d.I contains the instrument IDs, d.TS contains the date and time data, and d.P contains the pricing data.

Display the tick times:

d.TS.t(1:10)

ans = 

    '013500'
    '013505'
    '013510'
    '013520'
    '013530'
    '013540'
    '013550'
    '013600'
    '013610'
    '013620'

Display the field IDs:

d.P.k(1:10)

ans = 

    '3,4'
    '3,2'
    '3,3'
    '3,4'
    '3,2'
    '3,3'
    '3,4'
    '3,2'
    '3,3'
    '3,4'

Convert these IDs to field names (Mid, Bid, Ask) with tkidtofield:

d.P.k = tkidtofield(c,d.P.k,'history')

Load the file @tlkrs/tkfields.mat for a listing of the field names and corresponding IDs.

Display the corresponding tick values:

d.P.v(1:10)

ans = 

    '45.325'
    '45.32'
    '45.33'
    '45.325'
    '45.32'
    '45.33'
    '45.325'
    '45.32'
    '45.33'
    '45.325'

Input Arguments

c — connection object

tlkrs object

Connection object, specified as a tlkrs object.

s — security

cell array of character vectors

Security, specified as a cell array of character vectors.

t — date

serial date number

Date, specified as a serial date number.

startdate — start date

serial date number

Start date, specified as a serial date number.

enddate — end date

serial date number

End date, specified as a serial date number.

Version History

Introduced in R2011b