How do I retrieve historic, intraday values for specific prices from Bloomberg using datafeed?

I would like to use the Datafeed toolbox to retrieve historic, intraday prices from Bloomberg. However, I would also like to get certain prices, such as 'Bid' and 'Ask' as well as 'Trade' prices.

Answer 1

[MathWorks Support Team]

For raw intraday tick requests, all ticks are returned and the user will need to filter out the ticks they want.

For example,

D = fetch(c,'ABC US Equity','TIMESERIES','12/10/2008','12/15/2008');

I = (D(:,1) == 1 | D(:,1) == 31 | D(:,1) == 32);

D(~I,:) = [];

This will filter out any ticks that are not Trade, Bid Best, or Ask Best. The command

x = dftool('ticktypes')

returns the list of tick types that can be converted to numeric tick type values with, for example,

find(strcmp('Trade',x))

Trade == 1, Bid Best == 31 and Ask Best == 32.

The intraday tick fields are different from the current and historical data fields. This is the way Bloomberg maps them.

Also,

The best way to request a range is to include the timestamps in the dates, for example.

D = fetch(c,'SPX Index','TIMESERIES',{'12/05/2008 00:00:00','01/05/2009 23:59:59'});

The second column is the date/timestamp. The user should use the entire date/timestamp input form to get the right output date/times.