MATLAB: Does the FETCH command return only four columns of data when using the TIMESERIES option with the Bloomberg data service

bloombergDatafeed Toolboxtimeseries

I am using the Datafeed Toolbox 3.3 (R2009a) with a Bloomberg connection to fetch TIMESERIES data as follows:

ESM9_0504=fetch(c,'ESM9 Index','Timeseries','05/04/2009');

This call returns only four columns of data, where the documentation says that six columns of data are returned. Additionally, I am not sure what fields do these columns correspond to.

Best Answer

The FETCH command distinguishes between the case when a time interval is specified for timeseries data as against when it is not. In the former case at least six columns of data are returned corresponding to

 Time
 Open
 High
 Low
 Value of last tick
 Volume total value of ticks
 Total value of ticks for the time range

In the latter case, when raw data is fetched, the fields correspond to

 Tick type
 Timestamp
 Price
 Volume

Related Solutions

MATLAB: Am I unable to fetch Volume tick data from Bloomberg

This is because for intraday ticks, there is never be a tick for a Volume event. Ticks are mostly just pricing actions (TRADE, BID, ASK, etc). The Datafeed Toolbox exposes Volume as a tick in the documentation based on the Bloomberg API but there aren’t any ticks of this type. Volume data does get aggregated when one asks for Trade ticks for example. In such a case, the Volume field in the return data shows the total volume of trade data for a given interval.

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: Am I unable to fetch Volume tick data from Bloomberg

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

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