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From: Leonid Obodovsky on 3 Apr 2008 13:29
I want to extract historical intraday price bars from
Bloomberg for a number of US stocks. It appears that
@bloomberg/fetch.m function in datafeed toolbox gives me
bars only for the whole day and does not let me specify
period within the day I'm interested in (e.g. minute bars
from 9:30 to 9:40). When I modified the following call in
fetch.m function

[d,tikdate] = bbdatafeed
(bbflag,reqval,c.connection,s,offset,0,verboseflag,sectype,
intval,yrval,mtval,dyval,wkday,yrday,ticktype,0,0,0,yrval,m
tval,dyval,wkday,yrday,23,59,59);

by replacing hardcoded 0,0,0 & 23,59,59 with parameters I
pass in, it works fine for some dates and not great for
others.For example, when I try to get 1 minute bars for
MSFT on 3/3/08 from 9:30 to 10:00, I get nothing.

Any help is appreciated.
Thanks,
Leonid



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