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timeseries

SIX Financial Informationintraday tick data

Syntax

D = timeseries(c,s,t)
D = timeseries(c,s,{startdate,enddate})
D = timeseries(c,s,t,5)

Description

D = timeseries(c,s,t)returns the raw tick data for theSIX Financial Informationconnection objectc, the securitys, and the datet. Every trade, best, and ask tick is returned for the given date or date range.

D = timeseries(c,s,{startdate,enddate})returns the raw tick data for the securitys, for the date range defined bystartdateandenddate.

D = timeseries(c,s,t,5)returns the tick data for the securitys, for the datetin intervals of 5 minutes, for the fieldf. Intraday tick data requested is returned in 5-minute intervals, with the columns representing:

  • First

  • High

  • Low

  • Last

  • Volume weighted average

  • Moving average

Examples

检索SIX Financial Informationintraday tick data for the past 2 days:

c = tlkrs('US12345','userapid01','userapid10') d = timeseries(c,{'1758999,149,134'}, ... {floor(now)-.25,floor(now)})

Display the returned data:

d = XRF: [1x1 struct] IL: [1x1 struct] I: [1x1 struct] TSL: [1x1 struct] TS: [1x1 struct] P: [1x1 struct]

d.Icontains the instrument IDs,d.TScontains the date and time data, andd.Pcontains the pricing data.

Display the tick times:

d.TS.t(1:10) ans = '013500' '013505' '013510' '013520' '013530' '013540' '013550' '013600' '013610' '013620'

Display the field IDs:

d.P.k(1:10) ans = '3,4' '3,2' '3,3' '3,4' '3,2' '3,3' '3,4' '3,2' '3,3' '3,4'

Convert these IDs to field names (Mid,Bid,Ask) withtkidtofield:

d.P.k = tkidtofield(c,d.P.k,'history')

Load the file@tlkrs/tkfields.mat字段名称的清单和相关系数esponding IDs.

Display the corresponding tick values:

d.P.v(1:10) ans = '45.325' '45.32' '45.33' '45.325' '45.32' '45.33' '45.325' '45.32' '45.33' '45.325'

Version History

Introduced in R2011b

See Also

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