Datafeed

Toolbox
For Use with MATLAB ®

Computation

Visualization

Programming

User’s Guide
Version 1.2
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Datafeed Toolbox User’s Guide

 COPYRIGHT 1999 - 2000 by The MathWorks, Inc.
The software described in this document is furnished under a license agreement. The software may be used
or copied only under the terms of the license agreement. No part of this manual may be photocopied or repro-
duced in any form without prior written consent from The MathWorks, Inc.
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Part 12.212, DFARS Part 227.7202-1, DFARS Part 227.7202-3, DFARS Part 252.227-7013, and DFARS Part
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Other product or brand names are trademarks or registered trademarks of their respective holders.
Printing History: December 1999 First printing New for MATLAB 5.3 (Release 11)
June 2000 Revised for Version 1.2 online only
 Contents

Preface

Using this Guide . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

Organization of the Document . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Typographical Conventions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

R12 Related Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4

Additional Software . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5

Installation and Configuration . . . . . . . . . . . . . . . . . . . . . . . . . . . 6

Tutorial
1
Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-2

Communicating with a Financial Data Server . . . . . . . . . . . 1-3

Communication Management . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-3
Verifying the Connection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-4
Retrieving Connection Properties . . . . . . . . . . . . . . . . . . . . . . . 1-4
Disconnecting from a Data Server . . . . . . . . . . . . . . . . . . . . . . . 1-5

Retrieving Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-6

Example: Retrieving Bloomberg Data . . . . . . . . . . . . . . . . . . . . 1-6

Datafeed Toolbox Graphical User Interface . . . . . . . . . . . . 1-13

Datafeed Dialog Box . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-13
Securities Lookup Dialog Box (Bloomberg only) . . . . . . . . . . . 1-17

i
 Reference
2
Bloomberg Function Summary . . . . . . . . . . . . . . . . . . . . . . . . . 2-3
bloomberg . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-4
close . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-5
fetch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-6
get . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-9
isconnection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-10

IDC Function Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-11

close . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-12
fetch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-13
get . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-15
idc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-16
isconnection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-17

Yahoo Function Summary . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-18

close . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-19
fetch . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-20
get . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-23
isconnection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-24
yahoo . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-25

Directory Structure
A

ii Contents
Preface
Using this Guide . . . . . . . . . . . . . . . . . . . ii
Organization of the Document . . . . . . . . . . . . . . ii
Typographical Conventions . . . . . . . . . . . . . . . ii

Related Products . . . . . . . . . . . . . . . . . . . iv

Installation and Configuration . . . . . . . . . . . . v

Preface

Using this Guide

This book describes the Datafeed Toolbox for MATLAB. The Datafeed
Toolbox enables MATLAB users to obtain financial data from a financial data
server and to enter this data into the MATLAB environment.

Organization of the Document

Chapter Description

Chapter 1. Describes how to connect to a data server and request

“Tutorial” various forms of data.

Chapter 2. Describes the specific functions used to connect to a data

“Reference” server and to request various forms of data.

Appendix A. Shows the location of directories and files created after

“Directory installation of the Datafeed Toolbox on your system.
Structure”

Typographical Conventions
We use some or all of these conventions in our manuals.

Item Convention to Use Example

Example code Monospace font To assign the value 5 to A,

enter
A = 5

Function names/syntax Monospace font The cos function finds the

cosine of each array element.

Syntax line example is

MLGetVar ML_var_name

Keys Boldface with an initial Press the Return key.

capital letter

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 Using this Guide

Item Convention to Use Example

Literal string (in syntax Monospace bold for f = freqspace(n,’whole’)

descriptions in Reference literals.
chapters)
Mathematical Variables in italics This vector represents the
expressions polynomial
Functions, operators, and
constants in standard text. p = x2 + 2x + 3

MATLAB output Monospace font MATLAB responds with

A =

Menu names, menu items, and Boldface with an initial Choose the File menu.
controls capital letter

New terms Italics An array is an ordered

collection of information.

String variables (from a finite Monospace italics sysc = d2c(sysd, ’method’)

list)

-3
Preface

R12 Related Products

The MathWorks provides several products that are especially relevant to the
kinds of tasks you can perform with the Datafeed Toolbox.
For more information about any of these products, see either:

• The online documentation for that product, if it is installed or if you are

reading the documentation from the CD
• The MathWorks Web site, at http://www.mathworks.com; see the “products”
section

Note The toolboxes listed below all include functions that extend MATLAB’s
capabilities.

Table 0-1:

Product Description

Database Toolbox Tool for connecting to, and interacting with,

most ODBC/JDBC databases from within
MATLAB

Excel Link Tool that integrates MATLAB capabilities with

Microsoft Excel for Windows

Financial Derivatives Tool that extends the Financial Toolbox in the

Toolbox areas of fixed income derivatives and of
securities contingent to interest rates, with
functions for analyzing individual financial
derivative instruments and portfolios
composed of them

Financial Time Series Tool for analyzing time series data in the
Toolbox financial markets

-4
 R12 Related Products

Table 0-1:

Product Description

Financial Toolbox MATLAB functions for quantitative financial

modeling and analytic prototyping

GARCH Toolbox MATLAB functions for univariate Generalized

Autoregressive Conditional Heteroskedasticity
(GARCH) volatility modeling

Optimization Toolbox Tool for general and large-scale optimization of

nonlinear problems, as well as for linear
programming, quadratic programming,
nonlinear least squares, and solving nonlinear
equations

Statistics Toolbox Tool for analyzing historical data, modeling

systems, developing statistical algorithms, and
learning and teaching statistics

Additional Software
If you want to use the Datafeed Toolbox to retrieve data from Bloomberg or
Interactive Data Corporation (IDC) data servers, you need to install client
software available from each of these companies. Contact your sales
representative for information. Information about the services offered by these
companies is available on the Web at http://www.bloomberg.com and
http://www.intdata.com.

-5
Preface

Installation and Configuration

To install the Datafeed Toolbox, see the MATLAB Installation Guide for your
computer system.
For information about installing Bloomberg or Interactive Data Corporation
(IDC) software on your system, contact your sales representative from these
companies.

-6
 1

Tutorial
Introduction . . . . . . . . . . . . . . . . . . . . 1-2

Communicating with a Financial Data Server . . . . . 1-3

Communication Management . . . . . . . . . . . . . 1-3
Verifying the Connection . . . . . . . . . . . . . . . 1-4
Retrieving Connection Properties . . . . . . . . . . . . 1-4
Disconnecting from a Data Server . . . . . . . . . . . . 1-5

Retrieving Data . . . . . . . . . . . . . . . . . . 1-7

Example: Retrieving Bloomberg Data . . . . . . . . . . 1-7

Datafeed Toolbox Graphical User Interface . . . . . . 1-14

Datafeed Dialog Box . . . . . . . . . . . . . . . . . 1-14
Securities Lookup Dialog Box . . . . . . . . . . . . . 1-18
1 Tutorial

Introduction
This document describes the Datafeed Toolbox for MATLAB. The Datafeed
Toolbox effectively turns your MATLAB workstation into a financial data
acquisition terminal. Using the Datafeed Toolbox, you can download a wide
variety of security data from financial data servers into your MATLAB
workspace. Then, you can pass this data to MATLAB or to another toolbox,
such as the Financial Time Series Toolbox, for further analysis.

1-2
 Communicating with a Financial Data Server

Communicating with a Financial Data Server

The Datafeed Toolbox supports connections to three financial data servers:

• Bloomberg (http://www.bloomberg.com)
• Interactive Data Corporation (IDC) (http://www.idc.com)
• Yahoo (http://www.yahoo.com)

Bloomberg and IDC both require that you install proprietary software on your
PC. To connect to Yahoo, you need to have access to the Internet and to install
a Web browser. The most commonly used browsers, Microsoft Internet
Explorer (http://www.microsoft.com) and Netscape Communicator
(http://www.netscape.com) are available for free download.

Communication Management
For each of the supported financial data servers, the Datafeed Toolbox uses
four commands to manage communication:

• bloomberg, idc, yahoo: establishes a connection to the appropriate data

server.
• isconnection: verifies that a connection is working.
• get: retrieves connection properties.
• close: terminates the connection.

An additional function, fetch, obtains the desired data from the data server
and transfers it to your PC.

Example: The bloomberg Function

Connect to the Bloomberg data server using the bloomberg function. The
connection requires a port number and an IP address.
The syntax for the bloomberg function is
connect = bloomberg(PortNumber, ’IPAddress’)

The IP address is entered as a MATLAB string. For example, the command

c = bloomberg(8194, ’123.456.54.123’)

returns a Bloomberg connection object.

1-3
1 Tutorial

c =

connection: 84554360
ipaddress: ’123.456.54.123’
port: 8194

The connection field within the object c contains the Bloomberg connection
handle that will be used in processing future data requests.
If you want to accept the default port number and IP address provided when
your Bloomberg software was installed, enter
c = bloomberg

with no arguments.

Verifying the Connection

To verify that a data server connection is valid and open, use the isconnection
command. For a connection object c previously created with one of the above
connection commands,
x = isconnection(c)

returns x = 1 if the connection is valid and open or x = 0 if the connection is

closed or invalid.

Retrieving Connection Properties

To retrieve the properties of a connection object, use the command get. This
command returns different values depending upon which data server is being
used.

Example: Retrieving Bloomberg Connection Properties

For the Bloomberg connection
c = bloomberg(8194, ’123.456.54.123’)
the command
p = get(c)

returns the list of all valid connection properties and their values associated
with the connection object c.

1-4
 Communicating with a Financial Data Server

p =
connection: 84554360
ipaddress: ’123.456.54.123’
port: 8194
socket: 248
version: 1.8000

The get command can return specific properties of a connection object. For
example, to obtain the port number and Bloomberg version for the connection
object c, use the command
p = get(c,{’Port’;’Version’})

which returns
p =
port: 8194
version: 1.8000

When returning a single property, for example, the connection handle, the
command
p = get(c,’Connection’)

returns
p =
84554360

For a single returned property the output is not a structure.

Disconnecting from a Data Server

To close a data server connection and disconnect, use the close command with
the format
close(Connect)

You must have previously created the connection object with one of the
connection commands.

1-5
1 Tutorial

Retrieving Data
The fetch command controls data retrieval from a data server connection.
fetch returns different information depending upon which data server is being
accessed. See the version of fetch appropriate for your data server for further
information.

Example: Retrieving Bloomberg Data

This section illustrates the use of the fetch command to retrieve data from a
Bloomberg data server. Versions of the fetch command that retrieve data from
other data servers work similiarly.

Retrieving Header (Bloomberg Default) Data

A header (default) data request to Bloomberg returns a fixed set of field data.
Not all fields in the header data are relevant for a specific security.

Determining Header Fields. The list of valid header fields is stored in the file
@bloomberg/bbfields.mat. Use the command
load @bloomberg/bbfields

to load this file. The variable headerfieldnames contains the list of header field
names.

Obtaining Data. To retrieve header data from the Bloomberg connection, use
fetch with the syntax
data = fetch(Connect, Security, ’HEADER’, Flag)

where:

• Connect is a Bloomberg connection object established with the bloomberg

command.
• Security is the list of securities for which data is requested.
• The ’HEADER’ argument is entered literally.
• Flag denotes the dates for which data can be retrieved. Flag has three
possible values:

- DEFAULT fills all fields with data from the most recent date with a bid, ask,
or trade.

1-6
 Retrieving Data

- TODAY fills the fields with data from today only.

- ENHANCED fills the fields with data for the most recent event for each
individual field. In this case, for example, the bid and ask group fields
could come from different dates.
Commands of the form
data = fetch(Connection, Security)
data = fetch(Connection, Security, ’HEADER’)
data = fetch(Connection, Security, ’HEADER’, ’DEFAULT’)

are equivalent.
The returned data has a fixed set of fields. For example, a header inquiry for
the security IBM US Equity returns data of the form:
Status:0
OpenPrice:93
TodaysOpenPrice:93
HighPrice:93.1875
TodaysHighPrice:93.1875
LowPrice:89
TodaysLowPrice:89
LastPrice:90.9375
TodaysLastPrice:0
SettlePrice:NaN
BidPrice:0
TodaysBidPrice:NaN
AskPrice:0
TodaysAskPrice:NaN
YieldBid:NaN
TodaysYieldBid:NaN
YieldAsk:NaN
TodaysYieldAsk:NaN
LimitUp:NaN
LimitDown:NaN
OpenInterest:3359000
LastPriceYesterday:95
Scale:1
LastPriceTime:0.4993
LastTradeExchange:7
TickDirection:-1

1-7
1 Tutorial

BidSize:0
TodaysBidSize:NaN
AskSize:NaN
TodaysAskSize:0
BidCondition:NaN
AskCondition:NaN
LastTradeCondition:NaN
LastMarketCondition:NaN
Monitorable:1
TotalVolume:60018500
TodaysTotalVolume:0
TotalNumberOfTicks:63318
TodaysTotalNumberofTicks:63318
SessionStartTime:0.3958
SessionEndTime:0.6875
Currency:538989397
Format:0
SecurityKey:{’IBM US Equity’}
AsOfDate:730441
TodaysAsOfDate:730441

Not all fields are applicable to IBM US Equity, the security about which we
inquired.

Retrieving Field Data

The fetch command with the GETDATA argument obtains Bloomberg field data.
The entire set of field data provides statistics for all possible securities but does
not apply universally to any one security.

Determining Field Names. The complete list of valid field names is stored in the
file @bloomberg/bbfields.mat. Use the command
load @bloomberg/bbfields

to load this file. The variable bbfieldnames contains the list of field names.
This list includes the header field names plus numerous others.

Obtaining Data. To obtain data for specific fields of a given security, use the
fetch command with the syntax
d = fetch(Connect, Security, ’GETDATA’, Fields)

1-8
 Retrieving Data

For example, use the bloomberg command to establish a connection c1 to a

Bloomberg data server.
c1 = bloomberg(8234, ’123.457.78.999’)

Then
d = fetch(c1,’IBM US Equity’,’GETDATA’, {’OpenPrice’;’LastPrice’})

returns
d =
OpenPrice: 126.2500
LastPrice: 125.1250

Retrieving Time Series Data

The fetch command with the TIMESERIES argument returns price and volume
data for a particular security on a specified date. Time series data for a given
security and a specific date are returned using the syntax
data = fetch(Connection, Security, ’TIMESERIES’, Date)

Date may be a MATLAB date string or serial date number.

To obtain time series data for the current day, you can use the alternate forms
of the command
data = fetch(Connection, Security, ’TIMESERIES’, now)

or
data = fetch(Connection, Security, ’TICKS’).

To obtain time series data for IBM using an existing connection c1, enter the
command
data = fetch(c1, ’IBM US Equity’, ’TIMESERIES’, ’11/16/99’)

The result will look like

data =

31.00 730440.31 130.00 1000.00

32.00 730440.31 130.00 200.00
32.00 730440.35 129.50 10000.00
31.00 730440.35 129.50 100.00

1-9
1 Tutorial

32.00 730440.35 129.50 100.00

1.00 730440.56 129.25 4000.00
31.00 730440.56 129.38 1500.00
32.00 730440.56 129.50 500.00
1.00 730440.56 129.63 5000.00
31.00 730440.56 129.63 400.00
32.00 730440.56 129.63 200.00
1.00 730440.56 129.69 5000.00
31.00 730440.56 129.69 500.00
32.00 730440.56 129.69 500.00
31.00 730440.56 129.75 100.00
32.00 730440.56 130.00 100.00
1.00 730440.56 130.00 5000.00
1.00 730440.56 129.88 5000.00
31.00 730440.56 129.88 300.00

Column 1 contains the tick type flag, column 2 contains the time stamp in
MATLAB serial date number format, column 3 contains the tick value, and
column 4 contains the number of shares in the transaction.

Retrieving Historical Data

Use the fetch command with the HISTORY argument to obtain historical data
for a specific security.
For a specified field of a particular security use the syntax
d = fetch(Connect,Security,’HISTORY’,Field,FromDate,ToDate)

to obtain historical data. Data for the field is returned for the date range from
FromDate to ToDate. See “Determining Field Names” on page 1-8 for
instructions on determining valid field names.
For example, to obtain the closing price for IBM for the dates July 15, 1999 to
August 2, 1999 using the connection c1, enter
data = fetch(connection, ’IBM US Equity’, ’HISTORY’,...
’LastPrice’, ’07/15/99’, ’08/02/99’)

data =

730316.00 136.31
730317.00 136.25

1-10
 Retrieving Data

730320.00 134.63
730321.00 128.25
730322.00 129.00
730323.00 123.88
730324.00 124.81
730327.00 123.00
730328.00 126.25
730329.00 128.38
730330.00 125.38
730331.00 125.69
730334.00 122.25

Column 1 is the date represented as a MATLAB date number, and column 2 is

the last price.

Finding Ticker Symbols

You can use the fetch command with the LOOKUP argument to find a ticker
symbol when you are uncertain what the symbol might be. Use the syntax
data = fetch(Connect, SearchString, ’LOOKUP’, Market)

to locate a specific ticker symbol.

The SearchString argument is the comparison string used in the lookup
operation, and Market indicates the type of security (the market in which the
security trades). The allowable values for Market are:

• Comdty (Commodities)
• Corp (Corporate Bonds)
• Curncy (Currencies)
• Equity (Equities)
• Govt (Government Bonds)
• Index (Indexes)
• M-Mkt (Money Market Securities)
• Mtge (Mortgage-backed Securities)
• Muni (Municipal Bonds)
• Pfd (Preferred Stocks)
For example, using fetch with the connection c1 to look up the ticker symbol
for New Zealand government bonds returns

1-11
1 Tutorial

data = fetch(c1, ’New’, ’LOOKUP’, ’Govt’)

returns a list of possible values.

data =

’NZTB New Zealand Treasury Bill NZGB New Zealand Governme’

’NZGB New Zealand Government Bond NZ New Zealand Govern’
’NZ New Zealand Government International Bond HCNZ Hous’
’ECNZ Electric Corporation of New Zealand Bond NZTB NZGB NZ H’

1-12
 Datafeed Toolbox Graphical User Interface

Datafeed Toolbox Graphical User Interface

The Datafeed Toolbox provides a graphical user interface (GUI) consisting of
two dialog boxes. The Datafeed dialog box consists of two tabbed dialogs, one
to establish a data server connection, and the second to retrieve data from the
server. The second dialog box, the Securities Lookup dialog box, enables you
to find the ticker symbol for a specific security when you know at least part of
the name of the security.
For additional information about the Datafeed dialog box, see:
• “Connecting to a Data Server” on page 1-13
• “Data Retrieval” on page 1-16

For additional information about the Securities Lookup dialog box, see:
• “Securities Lookup Dialog Box (Bloomberg only)” on page 1-17

Datafeed Dialog Box

The Datafeed dialog box establishes the connection with the data server and
manages the retrieval of data. Enter the command dftool to display the
Datafeed dialog box on your screen. The Datafeed dialog box consists of two
tabbed dialogs:

• The Connection tab establishes communication with a data server. (See

“Connecting to a Data Server” on page 1-13.)
• The Data tab specifies the data request. (See “Data Retrieval” on page 1-16.)

Connecting to a Data Server

The Connection tab establishes a connection to one or more data servers. For
Yahoo and IDC connections, choose the data server from the Data Source
choices and click on the Connect button. For a Bloomberg connection, you can
specify a specific IP address and port number on the Bloomberg server, or

1-13
1 Tutorial

alternatively, just click on the Connect button and accept the default values
provided when the Bloomberg software was installed on your machine.

After connection
is made, click Click to establish
Data tab to begin connection.
data retrieval.

Enter port number on

data server or use
default. (Bloomberg
only)

Enter IP address of
data server or use
default. (Bloomberg
only)

Click to close
highlighted
connection.

1 (Bloomberg only) Enter the port number on the data server in the Port
Number box (or use default).

2 (Bloomberg only) Enter the IP address of the data server in the IP Address
box (or use default).

3 Click the Connect button to establish the connection.

1-14
 Datafeed Toolbox Graphical User Interface

4 When the Connected message appears in the Status box, click on the Data
tab to begin the process of retrieving data from the data server. (For
information on the Data tab, see “Data Retrieval” on page 1-16.

5 Click the Disconnect button to terminate the session highlighted in the

Current Connections box.

1-15
1 Tutorial

Data Retrieval
The Data tab manages the retrieval of data from the data server.

Enter security symbol (Bloomberg only)

if known. Click Get Use to find
Data button to security symbol if
retrieve data. Click Type of data to be
not known.
Add button to add retrieved from data
Displays
security to Selected server.
Securities
Securities list. Lookup dialog
box.

Security fields.

Click to
retrieve
data.

Fields with data

retrieved from
the connection.

Variable in MATLAB
workspace.

1-16
 Datafeed Toolbox Graphical User Interface

1 Enter security symbol in the Enter Security box.

2 Indicate the type of data you are seeking in the Data Selection panel.

3 Indicate whether you want the default or full set of data in the Fields panel.

4 Click the Get Data button to retrieve data from the data server.

Bloomberg Users If you do not know the symbol for a security, you can use
the Lookup button to find the name of the security. (See “Securities Lookup
Dialog Box (Bloomberg only)” on page 1-17.)

Securities Lookup Dialog Box (Bloomberg only)

Click on the Lookup button of the Datafeed dialog box Data tab to display the
Securities Lookup dialog box. See “Data Retrieval” on page 1-16 for
information about the Data tab.
The Securities Lookup dialog box provides a means to obtain the ticker
symbol for a particular security when you know part of the name. You can then
enter the ticker symbol into the Enter Security field onthe Data tab. It is
essential that you enter the ticker symbol as specified; otherwise, the data
server may provide no data or provide data for some other security.
Alternatively, you can highlight one or more securites in the list and click
Select. The selected securities are added to the Selected Securities list on the
Data tab.

1-17
1 Tutorial

Enter lookup search

string.

Search results. Displays

all possible values of
company name and
ticker symbol. Select
desired securities from
list.
Indicate choice of
market from
Market list. Enter selected
securities on Data tab.

Click to send request to

data server.

1-18
 2

Reference
Bloomberg Function Summary . . . . . . . . . . . 2-2

IDC Function Summary . . . . . . . . . . . . . . . 2-10

Yahoo Function Summary . . . . . . . . . . . . . . 2-18

2 Reference

2-2
Bloomberg Function Summary
This chapter provides detailed descriptions of the Bloomberg functions in the
Datafeed Toolbox.
Table 2-1: Datafeed Toolbox Functions

Function Purpose

bloomberg Connect to Bloomberg

close Close connection
fetch Request data
get Get connection properties
isconnection True if valid connection

2-3
bloomberg

Purpose 2bloomberg
Connect to Bloomberg

Syntax Connect = bloomberg(PortNumber, ’IPAddress’)

Connect = bloomberg

Arguments PortNumber Port on machine where connection is being made.

IPAddress A MATLAB string containing the internet address of
machine where connection is being made.

Description Connect = bloomberg(PortNumber, IPAddress) establishes a connection to a

Bloomberg data server using the port number, PortNumber, and the internet
address, IPAddress.

Connect = bloomberg establishes a connection to a Bloomberg data server

using port number 8194 and the default internet address provided when the
Bloomberg software was installed on your machine.

Example c = bloomberg(8194,’111.222.33.444’)

makes a connection to the Bloomberg server on port 8194 of the machine with
internet address 111.222.33.444.

See Also close, fetch, get, isconnection

2-4
 close

Purpose 2close
Close Bloomberg connection

Syntax close(Connect)

Arguments Connect Bloomberg connection object created with the bloomberg

command.

Description close(Connect) closes the connection to the Bloomberg data server.

Example c = bloomberg(8194,’111.222.33.444’)

establishes a Bloomberg connection, c.

close(c)

closes this connection.

See Also bloomberg

2-5
fetch

Purpose 2fetch
Request data from Bloomberg

Syntax data = fetch(Connect, ’Security’)

data = fetch(Connect, ’Security’, ’HEADER’, ’Flag’)
data = fetch(Connect, ’Security’, ’GETDATA’, ’Fields’)
data = fetch(Connect, ’Security’, ’TICKS’)
data = fetch(Connect, ’Security’, ’TIMESERIES’, ’Date’)
data = fetch(Connect, ’Security’, ’HISTORY’, ’Field’, ’FromDate’,
’ToDate’)
ticker = fetch(Connect, ’SearchString’, ’LOOKUP’, ’Market’)

Arguments Connect Bloomberg connection object created with the bloomberg

command.
Security A MATLAB string containing the name of a security in a
format recognizable by the Bloomberg server. (Note: For
header data only, Security may be a cell array of strings
containing a list of securities.)
Flag A MATLAB string indicating the dates from which data
is to be retrieved. Possible values are:

DEFAULT: Data from most recent bid, ask, or trade. If a

Flag value is not specified, ’DEFAULT’ is assumed.

TODAY: Today’s data only.

ENHANCED: Data from most recent date of each individual

field.
Fields A MATLAB string or cell array of strings indicating
specific fields for which data is to be provided. Valid field
names are in the file @bloomberg/bbfields.mat. The
variable bbfieldnames contains the list of field names.
Date Date string or serial date number indicating date for the
time series. Specify now for today’s time series data.
FromDate Beginning date for historical data.

2-6
 fetch

ToDate End date for historical data.

Market A MATLAB string indicating the market in which a
particular security trades. Market values are:

Comdty (Commodities)
Corp (Corporate bonds)
Curncy (Currencies)
Equity (Equities)
Govt (Government bonds)
Index (Indexes)
M-Mkt (Money Market securities)
Mtge (Mortgage-backed securities)
Muni (Municipal bonds)
Pfd (Preferred stocks)

Description For a given security, fetch returns header (default), field, time series, and
historical data via the Bloomberg connection

data = fetch(Connect, ’Security’) fills the header fields with data from
the most recent date with a bid, ask, or trade.

data = fetch(Connect, ’Security’, ’HEADER’, ’Flag’) returns data

based upon the value of Flag.

• If Flag is DEFAULT, fetch fills the header fields with data from the most
recent date with a bid, ask, or trade. (This is the equivalent of
data = fetch(Connect, Security)).
• If Flag is TODAY, fetch returns the header field data with data from today
only.
• If Flag is ENHANCED, fetch returns the header field data for the most recent
date of each individual field. In this case, for example, the bid and ask group
fields could come from different dates.

data = fetch(Connect, ’Security’, ’GETDATA’, ’Fields’) returns the

data for the specified fields of the indicated security.

data = fetch(Connect, ’Security’, ’TICKS’) returns today’s tick data.

2-7
fetch

data = fetch(Connect, ’Security’, ’TIMESERIES’, ’Date’) returns the

tick data for a security for the specified date. For today’s tick data, specify
data = fetch(Connect, ’Security’, ’TIMESERIES’, now)
data = fetch(Connect, ’Security’, ’TICKS’) is an equivalent command.

data = fetch(Connect, ’Security’, ’HISTORY’, ’Field’, ’FromDate’,

ToDate) returns historical data for the specified field for the date range
FromDate to ToDate.

ticker = fetch(Connect, ’SearchString’, ’LOOKUP’, ’Market’) uses

SearchString to find the ticker symbol for a security trading in a designated
market. The output ticker is a column vector of possible ticker values.

Examples For a United States equity with ticker ABC:

D = fetch(C,’ABC US Equity’)

returns the header data.

D = fetch(C,’ABC US Equity’,’GETDATA’,{’LastPrice’;’OpenPrice’})

returns the opening and closing prices.

D = fetch(C,’ABC US Equity’,’TICKS’) and
D = fetch(C,’ABC US Equity’,’TIMESERIES’, now)

return today’s time series.

D = fetch(C,’ABC US Equity’,’HISTORY’,’LastPrice’,’8/01/99’,...
’8/10/99’)

returns the closing price for the given dates.

See Also bloomberg, close, get, isconnection

2-8
 get

Purpose 2get
Get Bloomberg connection properties

Syntax value = get(Connect, ’PropertyName’)

Arguments Connect Bloomberg connection object created with the bloomberg

command.
PropertyName (optional) A MATLAB string or cell array of strings
containing property names. Property names are:

Connection
IPAddress
Port
Socket
Version

Description value = get(Connect, ’PropertyName’) returns a MATLAB structure

containing the value of the specified properties for the Bloomberg connection
object.

value = get(Connect) returns the value for all properties.

Example c = bloomberg(8194,’111.222.33.444’)

establishes a Bloomberg connection, c.

The command
p = get(c, {’Port’, ’IPAddress’})

returns
p =
port: 8194
ipaddress: 111.222.33.444

See Also bloomberg, close, fetch, isconnection

2-9
isconnection

Purpose 2isconnection
True if valid Bloomberg connection

Syntax x = isconnection(Connect)

Arguments Connect Bloomberg connection object created with the bloomberg

command.

Description x = isconnection(Connect) returns x = 1 if the connection is a valid

Bloomberg connection, and x = 0 if it is not.

Example The command

c = bloomberg(8194,’111.222.33.444’)

establishes a Bloomberg connection, c.

Then
x = isconnection(c)
x = 1

indicates that c is a valid Bloomberg connection.

See Also bloomberg, close, fetch, get

2-10
 IDC Function Summary

IDC Function Summary

This chapter provides detailed descriptions of the IDC functions in the
Datafeed Toolbox.
Table 2-2: Datafeed Toolbox IDC Functions

Function Purpose

close Close connection

fetch Request data
get Get connection properties
idc Connect to IDC
isconnection True if valid connection

2-11
close

Purpose 2close
Close IDC connection

Syntax close(Connect)

Arguments Connect IDC connection object created with the idc command.

Description close(Connect) closes the connection to the IDC data server.

Example c = idc

establishes an IDC connection, c.

close(c)

closes this connection.

See Also idc

2-12
 fetch

Purpose 2fetch
Request data from IDC

Syntax data = fetch(Connect, ’Security’, ’Fields’)

data = fetch(Connect, ’Security’, ’Fields’, ’FromDate’, ’ToDate’)
data = fetch(Connect, ’Security’, ’Fields’, ’FromDate’, ’ToDate’,
’Period’)
data = fetch(Connect, ’String’, ’Lookup’, ’Type’, ’Market’,
NumRecords, StartRecord)
data = fetch(Connect,’’,’Lookup’,’Category’)
data = fetch(Connect,’’,’GUILookup’,’GUICategory’)

Arguments Connect IDC connection object created with the idc command.
Security A MATLAB string containing the name of a security in a
format recognizable by the IDC server.
Fields A MATLAB string or cell array of strings indicating
specific fields for which data is to be provided. Valid field
names are in the file @idc/idcfields.mat. The variable
bbfieldnames contains the list of field names.
FromDate Beginning date for historical data.
ToDate End date for historical data.
Period Period within date range.
String Search string.
Type Lookup type. Possible values are:
F (Fields)
S (Securities)
Market Market to search.
NumRecords Number of record to fetch.
StartRecord Starting record for fetch.

2-13
fetch

Category Lookup category. Possible values are:

F (All valid field categories)
S (All valid security categories)
GUICategory GUI category. Possible values are:
F (All valid field categories)
S (All valid security categories)

Description data = fetch(Connect, ’Security’, ’Fields’) returns data for the

indicated fields of the designated securities.

data = fetch(Connect, ’Security’, ’Fields’, ’FromDate’, ’ToDate’)

returns historical data for the indicated fields of the designated securities.

data = fetch(Connect, ’Security’, ’Fields’, ’FromDate’, ’ToDate’,

’Period’) returns historical data for the indicated fields of the designated
securities with the designated period.

data = fetch(Connect, ’String’, ’Lookup’, ’Type’, ’Market’,

NumRecords, StartRecord) returns data of the requested type by searching
within the designated market for the string.

data = fetch(Connect,’’,’Lookup’,’Category’) returns all valid field or

security categories.

data = fetch(Connect,’’,’GUILookup’,’GUICategory’) opens the IDC

dialog for selecting fields or securities.

Examples d = fetch(c,’ford’,’lookup’,’s’,’equity’,4,1)

returns the first four securities containing the string ’ford’ starting with the
first record.

See Also close, get, idc, isconnection

2-14
 get

Purpose 2get
Get IDC connection properties

Syntax value = get(Connect, ’PropertyName’)

value = get(Connect)

Arguments Connect IDC connection object created with the idc command.
PropertyName (optional) A MATLAB string or cell array of strings
containing property names. Property names are:

Connected
Connection
Queued

Description value = get(Connect, ’PropertyName’) returns the value of the specified

properties for the IDC connection object. ’PropertyName’ is a string or cell
array of strings containing property names.

value = get(Connect) returns a MATLAB structure. Each field name is the

name of a property of Connect, and each field contains the value of that
property.

Example

See Also close, fetch, idc, isconnection (IDC functions)

2-15
idc

Purpose 2idc
Connect to IDC

Syntax Connect = idc

Description Connect = idc connects to the Interactive Data Corporation data server.
Connect is a connection handle used by other functions to obtain data.

Example c = idc

makes a connection to the IDC server.

See Also close, fetch, get, isconnection (IDC functions)

2-16
 isconnection

Purpose 2isconnection
True if valid IDC connection

Syntax x = isconnection(Connect)

Arguments Connect IDC connection object created with the idc command.

Description x = isconnection(Connect) returns x = 1 if the connection is a valid IDC

connection, and x = 0 if it is not.

Example The command

c = idc

establishes an IDC connection, c.

Then
x = isconnection(c)
x = 1

indicates that c is a valid IDC connection.

See Also close, fetch, get, idc (IDC functions)

2-17
 Yahoo Function Summary
This chapter provides detailed descriptions of the Yahoo functions in the
Datafeed Toolbox.
Table 2-3: Datafeed Toolbox Yahoo Functions

Function Purpose

close Close connection

fetch Request data
get Get connection properties
isconnection True if valid connection
yahoo Connect to Yahoo.

2-18
 close

Purpose 2close
Close Yahoo connection

Syntax close(Connect)

Arguments Connect Yahoo connection object created with the yahoo

command.

Description close(Connect) closes the connection to the Yahoo data server.

See Also yahoo

2-19
fetch

Purpose 2fetch
Request data from Yahoo

Syntax data = fetch(Connect, ’Security’)

data = fetch(Connect, ’Security’, ’Fields’)
data = fetch(Connect, ’Security’, ’Date’)
data = fetch(Connect, ’Security’, ’Fields’, ’Date’)
data = fetch(Connect, ’Security’, ’FromDate’, ’ToDate’)
data = fetch(Connect, ’Security’, ’Fields’, ’FromDate’, ’ToDate’)
data = fetch(Connect, ’Security’, ’FromDate’, ’ToDate’, ’Period’)

Arguments Connect Yahoo connection object created with the yahoo

command.
Security A MATLAB string or cell array of strings containing the
names of a securities in a format recognizable by the
Yahoo server.
Fields A MATLAB string or cell array of strings indicating the
data fields for which data is to be retrieved. Possible
values are:

Symbol
Last
Date
Time
Change
Open
High
Low
Volume
Date Date string or serial date number indicating date for the
requested data. If today’s date is entered, yesterday’s
data is returned.
FromDate Beginning date for historical data.

2-20
 fetch

ToDate End date for historical data.

Period Period within date range. Period values are:
d (daily)
w (weekly)
m (monthly)
v (dividends)

Description data = fetch(Connect, ’Security’) returns data for all fields from Yahoo’s
web site for the indicated securities.

data = fetch(Connect, ’Security’, ’Fields’) returns data for the

specified fields.

data = fetch(Connect, ’Security’, ’Date’) returns all security data for

the requested date.

data = fetch(Connect, ’Security’, ’Fields’, ’Date’) returns security

data for the specified fields on the requested date.

data = fetch(Connect, ’Security’, ’FromDate’, ’ToDate’) returns

security data for the date range FromDate to ToDate.

data = fetch(Connect, ’Security’, ’Fields’, ’FromDate’, ’ToDate’)

returns security data for the specified fields for the date range FromDate to
ToDate.

data = fetch(Connect, ’Security’, ’FromDate’, ’ToDate’, ’Period’)

returns security data for the date range FromDate to ToDate with the indicated
period.

Examples Obtain the closing price for Coca Cola on April 6, 2000.
c = yahoo;

ClosePrice = fetch(c,’ko’,’Close’,’Apr 6 00’)

ClosePrice =

730582.00 45.75

2-21
fetch

See Also close, get, isconnection, yahoo (Yahoo functions)

2-22
 get

Purpose 2 get
Get Yahoo connection properties

Syntax value = get(Connect, ’PropertyName’)

Arguments Connect Yahoo connection object created with the yahoo

command.
PropertyName (optional) A MATLAB string or cell array of strings
containing property names. Currently the only property
name recognized is url.

Description value = get(Connect, ’PropertyName’) returns the value of the specified

properties for the Yahoo connection object.

value = get(Connect) returns a MATLAB structure where each field name is

the name of a property of Connect, and each field contains the value of that
property.

Example Use the yahoo command to establish a connection to Yahoo.

c = yahoo

c =

url: ’http://quote.yahoo.com’

Now use the get command to retrieve the connection property value.
get(c, ’url’)

ans =

url: 'http://quote.yahoo.com'

See Also close, fetch, isconnection, yahoo (Yahoo functions)

2-23
isconnection

Purpose 2isconnection
True if valid Yahoo connection

Syntax x = isconnection(Connect)

Arguments Connect Yahoo connection object created with the yahoo

command.

Description x = isconnection(Connect) returns x = 1 if the connection is a valid Yahoo

connection, and x = 0 if it is not.

Example The command

c = yahoo

establishes a Yahoo connection, c.

Then
x = isconnection(c)
x = 1

indicates that c is a valid Yahoo connection.

See Also close, fetch, get, yahoo (Yahoo functions)

2-24
 yahoo

Purpose 2yahoo
Connect to Yahoo

Syntax Connect = yahoo

Description Connect = yahoo verifies that the URL http://quote.yahoo.com is accessible

and creates a connection handle.

Example Use the yahoo command to establish a connection to the Yahoo data server.
Connect = yahoo

Connect =

url: ’http://quote.yahoo.com’

See Also close, fetch, get, isconnection (Yahoo functions)

2-25
yahoo

2-26
 A

Directory Structure
A Directory Structure

MATLAB is distributed in compressed format on CD-ROM. The installation

procedure moves the files to your hard disk, decompresses them, and installs
them into your MATLAB root directory. After installation of the MATLAB
Datafeed Toolbox, your MATLAB directory should include these additional
files and subdirectories.

Note In the directory structure shown below, the notation <matlab>

represents your MATLAB root directory, the location where MATLAB is
installed on your system.

Table A-1: <matlab>/datafeed/datafeed/@bloomberg

File Purpose

bloomberg Connect to Bloomberg data server

close Close connection to Bloomberg data server
fetch Request data from Bloomberg data server
get Get Bloomberg connection properties
isconnection True if valid Bloomberg connection

Table A-2: <matlab>/datafeed/datafeed/@idc

File Purpose

close Close connection to IDC data server

fetch Request data from IDC data server

get Get IDC connection properties

idc Connect to IDC data server

isconnection True if valid IDC connection

A-2
Table A-3: <matlab>/datafeed/datafeed/@yahoo

File Purpose

close Close connection to Yahoo data server

fetch Request data from Yahoo data server
get Get Yahoo connection properties
isconnection True if valid Yahoo connection
yahoo Connect to Yahoo data server

Table A-4: <matlab>/datafeed/dfgui

File Purpose

dftool Datafeed graphical user interface

A-3
A Directory Structure

A-4
 Index

B
Bloomberg field data 1-8
connection handle 1-4 field names 1-8
connection object 1-3 Flag values 1-6
bloomberg 1-3, 2-4

G
C get 1-4, 1-5
close 1-5 Bloomberg 2-9
Bloomberg 2-5 IDC 2-15
IDC 2-12 yahoot 2-23
yahoo 2-19 GETDATA argument 1-8
connecting 1-3 graphical user interface 1-13
connection handle 1-4
connection object 1-3
Connection tab 1-13 H
HEADER argument 1-6
header data 1-6
D header fields 1-6
data historical data 1-10
default 1-6 HISTORY argument 1-10
field 1-8
header 1-6
historical 1-10 I
time series 1-9 idc 2-16
Data tab 1-16 IP address 1-3
Datafeed dialog box 1-13 isconnection 1-4
default data 1-6 Bloomberg 2-10
dftool 1-13 IDC 2-17
disconnecting 1-5 yahoo 2-24

F L
fetch 1-6 LOOKUP argument 1-11
Bloomberg 2-6
IDC 2-13
yahoo 2-20 M
markets 1-11, 2-7

I-1
 Index

MATLAB root directory A-2

P
port number 1-3

R
retrieve properties 1-4
root directory
MATLAB A-2

S
Securities Lookup dialog box 1-13, 1-17

T
ticker symbols 1-11
time series data 1-9
TIMESERIES argument 1-9

V
verification 1-4

Y
yahoo 2-25

I-2