MATLAB: Do I receive the message “no historical data returned” when querying historical data while using the FETCH command in Datafeed Toolbox 3.3 (R2009a)

Datafeed Toolbox

I am using the Bloomberg FETCH command to retrieve historical data. I retrieved the strings for these fields by loading bbfields.mat and selecting the following fields from the BBFIELDNAMES array:

'DATE_OF_LAST_HEADER'

'FIRST_TRADING_DATE'

The following code works:

fetch(connect,'SPYUS','history','open',firsttradedate,lasttradedata,'don')

But when I try to substitute one of the above field names, such as:

field = 'FIRST_TRADING_DATE'
fetch(connect,'SPYUS','history',field,firsttradedate,lasttradedata,'don')

I get the following message:

 no historical data was returned

Best Answer

When the return message is "no historical data was returned" this generally means that historical data can't be returned with those fields. These fields are only available with the "GETDATA" flag.

Related Solutions

MATLAB: Do I receive an error message when using the Bloomberg FETCH command in the Datafeed Toolbox 3.1 (R2008a) with the EQY_DVD_HIST_ALL field

The field 'EQY_DVD_HIST_ALL' is not supported for historical requests by Bloomberg. It is a bulk data field that can be used with the GETDATA flag only. A potential workaround will be to use a override field.

The modified code snippet would appear like the following:

c=bloomberg;
d=fetch(c,'SPY Equity','GETDATA','EQY_DVD_HIST_ALL',{'END_DT'},{'20080120'})

The override value for END_DT must be a string in YYYYMMDD format.

MATLAB: How to retrieve historic, intraday values for specific prices from Bloomberg using datafeed

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.

Best Answer

Related Solutions

MATLAB: Do I receive an error message when using the Bloomberg FETCH command in the Datafeed Toolbox 3.1 (R2008a) with the EQY_DVD_HIST_ALL field

MATLAB: How to retrieve historic, intraday values for specific prices from Bloomberg using datafeed

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