MATLAB: Hist_stock_data – only 2 decimals with currency

currencyhist_stock_data

Hello!

I have a very simple code for downloading the historical prices from yahoo finance. If I use:

%--------
start_date = '01032012';
end_date = '11072012';
stocks = hist_stock_data(start_date, end_date, '^GSPC');
 stocks.Date=datenum(stocks.Date);
    % reverse vectors old -> new
    stocks.Date = stocks.Date(end:-1:1);
    stocks.Close = stocks.Close(end:-1:1);
Prices=stocks.Close
%---------

then the vector prices has 4 decimals. However, if I instead of '^GSPC' use 'EURUSD=X', then the 3rd and 4th decimals are always 0, i.e. the numbers are rounden. HOwever, on the website http://finance.yahoo.com/q?s=EURUSD%3DX&ql=0

the quotes have 4 decimals. Is there a way to download currency data with 4 decimals instead of 2?

Thank you very much for your time and consideration!

Alex

Best Answer

Hello Alex

Procedure to Get Price (EURUSD) with 4 decimals here.If yahoo doesnt allow you go the data , you can go to fred page to get the data (Federal Reserve Economic Data - FRED - St. Louis Fed data manager). Please read the communicate with Data Serve help information in Matlab.

Solution done in Matlab R2012a.

conn=fred;
Instrument='DEXUSEU';
DateIni='Jan 01 2002';
DateEnd='Jan 01 2012';
Field='Close';
Price=fetch(conn,Instrument,Field,DateIni,DateEnd);

How did I identify the name of the instrument ? Go to the FRED Graph section and search the instrument. For the EURO I put EURO and get the result:

DEXEUS, D, USD, $ to 1, USA, NSA.

This means that data are daily, dollar price NSA.

If this solve your question please grade. Best regards

Javier

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John, I'll assume you have the Financial Toolbox. I think what you're looking to do is to calculate mean price, by ticker and week, with the exemplar date for each week being the last business day. There are several ways you could do that. Since you already have a table, varfun is one easy way.

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>> Date = datetime(2016,3,[22;23;24;28;29;21;22;23;24;28;29],'Format','eee dd-MMM-yyyy');
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TS =
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    _______________    ______    ________
    Tue 22-Mar-2016    A          0.13197
    Wed 23-Mar-2016    A          0.94205
    Thu 24-Mar-2016    A          0.95613
    Mon 28-Mar-2016    A          0.57521
    Tue 29-Mar-2016    A          0.05978
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    Wed 23-Mar-2016    B          0.82119
    Thu 24-Mar-2016    B         0.015403
    Mon 28-Mar-2016    B         0.043024
    Tue 29-Mar-2016    B          0.16899

Now find the last business day in each week, by first finding the end of the week and then stepping back.

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>> EOWDate = dateshift(TS.Date,'end','week');
>> TS.BusDate = busdate(EOWDate,'previous',hol);
>> TS.BusDate.Format = ['eee ' TS.BusDate.Format]
TS =
         Date          Ticker     Price           BusDate      
    _______________    ______    _______    ___________________
    Tue 22-Mar-2016    A         0.64912    Thu Thu 24-Mar-2016
    Wed 23-Mar-2016    A         0.73172    Thu Thu 24-Mar-2016
    Thu 24-Mar-2016    A         0.64775    Thu Thu 24-Mar-2016
    Mon 28-Mar-2016    A         0.45092    Fri Fri 01-Apr-2016
    Tue 29-Mar-2016    A         0.54701    Fri Fri 01-Apr-2016
    Mon 21-Mar-2016    B         0.29632    Thu Thu 24-Mar-2016
    Tue 22-Mar-2016    B         0.74469    Thu Thu 24-Mar-2016
    Wed 23-Mar-2016    B         0.18896    Thu Thu 24-Mar-2016
    Thu 24-Mar-2016    B         0.68678    Thu Thu 24-Mar-2016
    Mon 28-Mar-2016    B         0.18351    Fri Fri 01-Apr-2016
    Tue 29-Mar-2016    B         0.36848    Fri Fri 01-Apr-2016

Finally, apply mean to the prices, grouping by ticker and week.

>> varfun(@mean,TS,'GroupingVariables',{'Ticker' 'BusDate'},'InputVariables','Price')
ans =
    Ticker      BusDate      GroupCount    mean_Price
    ______    ___________    __________    __________
    A         24-Mar-2016    3             0.67672   
    A         01-Apr-2016    2             0.31749   
    B         24-Mar-2016    4             0.35613   
    B         01-Apr-2016    2             0.10601

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