Retrieve Bloomberg Intraday Tick Data

This example shows how to retrieve intraday tick data from Bloomberg^®. To create a successful Bloomberg connection, see Connect to Bloomberg.

Create the Bloomberg connection.

c = blp;

Alternatively, you can connect to the Bloomberg Server using blpsrv or Bloomberg B-PIPE^® using bpipe.

Retrieve the trade tick series for the past 50 days for the IBM^® security aggregated into 5-minute intervals.

d = timeseries(c,'IBM US Equity',{floor(now)-50,floor(now)},5,'Trade')

ans =

  Columns 1 through 7

   735487.40        187.20        187.60        187.02        187.08     207683.00        560.00
   735487.40        187.03        187.13        186.65        186.78      46990.00        349.00
   735487.40        186.78        186.78        186.40        186.47      51589.00        399.00
     ...

Column 8

   38902968.00
    8779374.00
    9626896.00
   ...

The columns in d contain the following:

• Numeric representation of date and time

• Open price

• High price

• Low price

• Closing price

• Volume of ticks

• Number of ticks

• Total tick value in the bar

The first row of data shows prices and tick data for the current date. The next row shows tick data for 5 minutes later.

Close the Bloomberg connection.

close(c)