MATLAB > Time Series Variants |
The time series functions are split into two groups: those that obtain last N traded periods (we call that the time series tail) and those that fetch time series for a date range. Inside each group there are five functions, one for each aggregation: daily, weekly, monthly, quaterly and yearly.
The functions in the first group are getdailytail, getweeklytail, getmonthlytail, getquaterlytail and getyearlytail. They all have the same signature. For example, here's a query that gets last 10 monthly and last 10 yearly bars of /GCL:
>> getmonthlytail(con,'/GCL',10), getyearlytail (con,'/GCL',10)
to which Matlab replies:
Time Series Collection Object: unnamed
Time vector characteristics
Start date 01-Nov-2010 00:00:00
End date 01-Aug-2011 00:00:00
Member Time Series Objects:
Open
High
Low
Close
Volume
OpenInterest
Time Series Collection Object: unnamed
Time vector characteristics
Start date 01-Jan-2002 00:00:00
End date 01-Jan-2011 00:00:00
Member Time Series Objects:
Open
High
Low
Close
Volume
OpenInterest
The other group of functions are the range functions. Instead of taking the number of data points to return, they take start and end date as arguments. There are again five functions in this group, all with the same signature. They are getdailyrange, getweeklyrange, getmonthlyrange, getquaterlyrange and getyearlyrange. Here's an example:
>> getweeklyrange(con,'/GCL','01-Jan-2010','31-Jan-2010')
to which Matlab replies:
Time Series Collection Object: unnamed
Time vector characteristics
Start date 27-Dec-2009 00:00:00
End date 31-Jan-2010 00:00:00
Member Time Series Objects:
Open
High
Low
Close
Volume
OpenInterest