Financial Time Series Toolbox

ascii2fts

Create financial time series object from ASCII data file

Syntax

• tsobj = ascii2fts(filename, descrow, colheadrow, skiprows)
  tsobj = ascii2fts(filename, timedata, descrow, colheadrow, 
  skiprows)
  

Arguments

filename	ASCII data file
descrow	(Optional) Row number in the data file that contains the description to be used for the description field of the financial time series object
colheadrow	(Optional) Row number that has the column headers/names
skiprows	(Optional) Scalar or vector of row numbers to be skipped in the data file
timedata	Set to 'T' if time-of-day data is present in the ASCII data file or to 'NT' if no time-of-day data is present.

Description

tsobj = ascii2fts(filename, descrow, colheadrow, skiprows) creates a financial time series object tsobj from the ASCII file named filename. This form of the function can only read a data file without time-of-day information and create a financial time series object without time information. If time information is present in the ASCII file, an error message appears.

The general format of the text data file is

• May contain header text lines.
• May contain column header information. The column header information must immediately precede the data series columns unless skiprows is specified.
• Leftmost column must be the date column.
• Dates must be in a valid date string format:
• 'ddmmmyy' or 'ddmmmyyyy'
• 'mm/dd/yy' or 'mm/dd/yyyy'
• 'dd-mmm-yy' or 'dd-mmm-yyyy'
• 'mmm.dd,yy' or 'mmm.dd,yyyy'
• Each column must be separated either by spaces or a tab.

tsobj = ascii2fts(filename, timedata, descrow, colheadrow, skiprows) creates a financial time series object containing time-of-day data. Set timedata to 'T' to create a financial time series object containing time-of-day data.

Examples

Example 1. If your data file contains no description or column header rows

• 1/3/95   36.75   36.9063   36.6563   36.875    1167900
  1/4/95   37      37.2813   36.625    37.1563   1994700  ...
  

you can create a financial time series object from it with the simplest form of the ascii2fts function:

• myinc = ascii2fts('my_inc.dat');
  
  myinc = 
   
  desc:  my_inc.dat
  freq:  Unknown (0)
  
  'dates:  (2)'  'series1: (2)'  'series2: (2)'   'series3: (2)'...
  '03-Jan-1995'  [   36.7500]    [    36.9063]    [   36.6563]
  '04-Jan-1995'  [        37]    [    37.2813]    [   36.6250]
  

Example 2: If your data file contains description and column header information with the data series immediately following the column header row

• International Business Machines Corporation (IBM)
  Daily prices (1/3/95 to 4/5/99)
  DATE     OPEN    HIGH      LOW       CLOSE     VOLUME
  1/3/95   36.75   36.9063   36.6563   36.875    1167900
  1/4/95   37      37.2813   36.625    37.1563   1994700  ...
  

you must specify the row numbers containing the description and column headers:

• ibm = ascii2fts('ibm9599.dat', 1, 3);
  
  ibm = 
   
  desc:  International Business Machines Corporation (IBM)
  freq:  Unknown (0)
  'dates:  (2)'    'OPEN:  (2)'    'HIGH:  (2)'    'LOW:  (2)' ...      
  '03-Jan-1995'    [   36.7500]    [   36.9063]    [  36.6563]        
  '04-Jan-1995'    [        37]    [   37.2813]    [  36.6250]         
  

Example 3: If your data file contains rows between the column headers and the data series, e.g.,

• Staples, Inc. (SPLS)
  Daily prices
  DATE     OPEN    HIGH     LOW      CLOSE    VOLUME
  Starting date: 04/08/1996
  Ending date:   04/07/1999
  4/8/96   19.50   19.75    19.25    19.375   548500
  4/9/96   19.75   20.125   19.375   20       1135900  ...
  

you need to indicate to ascii2fts the rows in the file that must be skipped. Assume that you have called the data file containing the Staples data above staples.dat. The command

• spls = ascii2fts('staples.dat', 1, 3, [4 5]);
  

indicates that the fourth and fifth rows in the file should be skipped in creating the financial time series object:

• spls = 
   
  desc:  Staples, Inc. (SPLS)
  freq:  Unknown (0)
  
  'dates:  (2)'  'OPEN:  (2)'    'HIGH:  (2)'    'LOW:  (2)'        
  '08-Apr-1996'  [   19.5000]    [  19.7500]     [19.2500]           
  '09-Apr-1996'  [   19.7500]    [  20.1250]     [19.3750]    
  

Example 4. Create a financial time series object containing time-of-day information.

First create a data file with time information:

• 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'];
  serial_dates_times = [datenum(dates), datenum(times)];
  data = round(10*rand(6,2));
  stat = fts2ascii('myfts_file2.txt',serial_dates_times,data, ... 
  {'dates';'times';'Data1';'Data2'},'My FTS with Time');
  

Now read the data file back and create a financial time series object:

• MyFts = ascii2fts('myfts_file2.txt','t',1,2,1)
  
  MyFts = 
   
      desc:  My FTS with Time
      freq:  Unknown (0)
  
      'dates:  (6)'    'times:  (6)'    'Data1:  (6)'    'Data2:  (6)'
      '01-Jan-2001'    '11:00'          [          9]    [          4]
      '     "     '    '12:00'          [          7]    [          9]
      '02-Jan-2001'    '11:00'          [          2]    [          1]
      '     "     '    '12:00'          [          4]    [          4]
      '03-Jan-2001'    '11:00'          [          9]    [          8]
      '     "     '    '12:00'          [          9]    [          0]
  

See Also

fints, fts2ascii

adosc

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