Financial Time Series Toolbox

fetch

Extract data from financial time series object

Syntax

• newfts = fetch(oldfts, StartDate, StartTime, EndDate, EndTime, 
  delta, dmy_specifier, time_ref) 
  

Arguments

oldfts	Existing financial time series object
StartDate	First date in the range from which data is to be extracted.
StartTime	Beginning time on each day. If you do not require specific times or oldfts does not contain time information, use []. If you specify StartTime, you must also specify EndTime.
EndDate	Last date in the range from which data is to be extracted.
EndTime	Ending time on each day. If you do not require specific times or oldfts does not contain time information, use []. If you specify EndTime, you must also specify StartTime.
delta	Skip interval. May be any positive integer. Units for the skip interval specified by dmy_specifier.
dmy_specifier	Specifies the units for delta. May be D, d (Days) M, m (Months) Y, y (Years)
time_ref	Time reference intervals or specific times. Valid time reference intervals are 1, 5, 15, or 60 minutes. Enter specific times as 'hh:mm'.

Description

newfts = fetch(oldfts, StartDate, StartTime, EndDate, EndTime, delta, dmy_specifier, time_ref) requests data from a financial time series object beginning from the start date and/or start time to the end date and/or end time, skipping a specified number of days, months, or years.

Note    If time information is present in oldfts, using [] for start or end times results in fetch returning all instances of a specific date.

Examples

Example 1. Create a financial time series object containing both dates and times:

• dates = ['01-Jan-2001';'01-Jan-2001'; '02-Jan-2001'; ...
   '02-Jan-2001'; '03-Jan-2001';'03-Jan-2001'];
  times = ['11:00';'12:00';'11:00';'12:00';'11:00';'12:00'];
  dates_times = cellstr([dates, repmat(' ',size(dates,1),1),... 
  times]);
  myFts = fints(dates_times,(1:6)',{'Data1'},1,'My first FINTS')
  
  myFts = 
   
      desc:  My first FINTS
      freq:  Daily (1)
  
      'dates:  (6)'    'times:  (6)'    'Data1:  (6)'
      '01-Jan-2001'    '11:00'          [          1]
      '     "     '    '12:00'          [          2]
      '02-Jan-2001'    '11:00'          [          3]
      '     "     '    '12:00'          [          4]
      '03-Jan-2001'    '11:00'          [          5]
      '     "     '    '12:00'          [          6]
  

To fetch all dates and times from this financial time series, enter

• fetch(myFts,'01-Jan-2001',[],'03-Jan-2001',[],1,'d')
  

or

• fetch(myFts,'01-Jan-2001','11:00','03-Jan-2001','12:00',1,'d')
  

These commands reproduce the entire time series shown above.

To fetch every other day's data, enter

• fetch(myFts,'01-Jan-2001',[],'03-Jan-2001',[],2,'d')
  

This produces

• ans = 
   
      desc:  My first FINTS
      freq:  Daily (1)
  
      'dates:  (4)'    'times:  (4)'    'Data1:  (4)'
      '01-Jan-2001'    '11:00'          [          1]
      '     "     '    '12:00'          [          2]
      '03-Jan-2001'    '11:00'          [          5]
      '     "     '    '12:00'          [          6]
  

Example 2. Create a financial time series object with time intervals of less than one hour:

• dates2 = ['01-Jan-2001';'01-Jan-2001'; '01-Jan-2001';...
  '02-Jan-2001'; '02-Jan-2001';'02-Jan-2001'];
  times2 = ['11:00';'11:05';'11:06';'12:00';'12:05';'12:06'];
  dates_times2 = cellstr([dates2, repmat(' ',size(dates2,1),1),... 
  times2]);
  myFts2 = fints(dates_times2,(1:6)',{'Data1'},1,'My second 
  FINTS')
  
  myFts2 = 
   
      desc:  My second FINTS
      freq:  Daily (1)
  
      'dates:  (6)'    'times:  (6)'    'Data1:  (6)'
      '01-Jan-2001'    '11:00'          [          1]
      '     "     '    '11:05'          [          2]
      '     "     '    '11:06'          [          3]
      '02-Jan-2001'    '12:00'          [          4]
      '     "     '    '12:05'          [          5]
      '     "     '    '12:06'          [          6]
  

Use fetch to extract data from this time series object at five-minute intervals for each day starting at 11:00 o'clock on January 1, 2001.

• fetch(myFts2,'01-Jan-2001',[],'02-Jan-2001',[],1,'d',5)
  
      desc:  My second FINTS
      freq:  Daily (1)
  
      'dates:  (4)'    'times:  (4)'    'Data1:  (4)'
      '01-Jan-2001'    '11:00'          [          1]
      '     "     '    '11:05'          [          2]
      '02-Jan-2001'    '12:00'          [          4]
      '     "     '    '12:05'          [          5]
  

You can use this version of fetch to extract data at specific times. For example, to fetch data only at 11:06 and 12:06 from myFts2, enter

• fetch(myFts2,'01-Jan-2001',[],'02-Jan-2001',[],1,'d',... 
  {'11:06';'12:06'})
  
  ans = 
   
      desc:  My second FINTS
      freq:  Daily (1)
  
      'dates:  (2)'    'times:  (2)'    'Data1:  (2)'
      '01-Jan-2001'    '11:06'          [          3]
      '02-Jan-2001'    '12:06'          [          6]
  

See Also

extfield, ftsbound, getfield, subsref

extfield

fieldnames