MATLAB: Last transaction time

maxsorttime

Hi,

I have vector A of prices and cell array B of time of the transaction that has the following format 12:00:53 ; 13:07:52 etc… I was trying to select the last transaction of the day by using: max(B) but i am receiving an error ??? Undefined function or method 'max' for input arguments of type 'cell'. How can I get the last observation in this case either by sorting prices according to B (then I take th elast one) r by using maximum of B?

Best Answer

Hi,

you need to convert to a number first:

B2 = datenum(B, 'HH:MM:SS');

then take the max(B2).

Titus

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MATLAB: Transaction Data in HTML file

This is a start

%%

sad = dir( 'd:\m\cssm\transData*.txt' );
len = length( sad );
out = cell( len, 2 );
for jj = 1 : len
    chr = fileread( fullfile( sad(jj).folder, sad(jj).name ) );
    xpr = '<b>Customer Name: <\/b>([^<]+).+<b>Transaction ID:<\/b>\x20*(\d+)';
    cac = regexp( chr, xpr, 'tokens' );
    if not( isempty( cac{1} ) )
       out(jj,:) = cac{:}; 
    end
end
out

It outputs

out =
  1×2 cell array
    {'Wee Lu'}    {'8299045'}
>>

In response to comment

%%
sad = dir( 'd:\m\cssm\transData*.txt' );
len = length( sad );
out = cell( len, 2 );
for jj = 1 : len
    chr = fileread( fullfile( sad(jj).folder, sad(jj).name ) );
    xpr = '<b>Customer Name: <\/b>([^<]*).*<b>Transaction ID:<\/b>\x20*(\d*)';
    cac = regexp( chr, xpr, 'tokens' );
    if not(isempty( cac{1}{1} )) && not(isempty( cac{1}{2} ))
        out(jj,:) = cac{1};
    elseif not(isempty( cac{1}{1} ))
        out(jj,1) = cac{1}(1);
        out(jj,2) = {'-99'};
    elseif not(isempty( cac{1}{2} ))
        out(jj,1) = {'---'};
        out(jj,2) = cac{1}(2);
    else
        out(jj,1) = {'---'};
        out(jj,2) = {'-99'};
    end
end
out

outputs

out =
  2×2 cell array
    {'Wee Lu'  }    {'8299045'}
    {'Lam Soon'}    {'-99'    }
>>

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: Transaction Data in HTML file

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

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