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Making Trade-Time Available to Matlab's Getdata command

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  • Making Trade-Time Available to Matlab's Getdata command

    Using matlab's "Getdata" command to fetch the current quote of various issues thru eSignal's API... Six different fields of information are returned containing the last trade, bid, ask and a qty for each, however there is no "Time of Trade". You can't tell whether the price is recent, or was made a half hour ago or whether it was even traded that day or the previous one. It would be useful to have that basic information. I corresponded with matlab on this point - and they replied that the time of trade was not available thru esignal's API for matlab, and therefore there was nothing they could modify on their side to get that data.

    The time of last trade (or last tick on an index) can be seen on any of eSignal's intraday charts or Watch Lists. Can you make this data available via the API to matlab for the"current" quote, not just the historical timeseries data? Thanks.

  • #2

    With the OnQuoteChange request the data structure coming back is ONLY going to be for from the time the request is make going forward. It does not process any historical trades.

    As a workaround for real time request with a time stamp you'd need to use the TimeSalesRequest.

    The new API currently in developement should include more of data type such as time.

    eSignal Support


    • #3
      I am using the API via matlab's "Datafeed Toolbox" (from Mathworks), which does not have access to eSignal's individual API commands. So I can't tell whether the Toolbox is using the "OnQuoteChange" request, and I don't see how to specify any parameter to retrieve a "TimeSalesRequest" using that "GetData" command.

      But just for the sake of clarity, "GetData" always returns the most recent trade/bid/ask as a one time snapshot. It doesn't return data "from the time the request is made going forward". So in effect, the most recent trade/bid/ask is a tick snapshot of the most recent history datapoint - my problem is that snapshot does NOT contain a timestamp, so the data IS the most recent, but that could be one second ago, or possibly the only trade that was made in the past hour.

      I have put in a request to Mathworks to add a timestamp to the GetData command, but they replied that a timestamp is not possible until eSignal makes that data field available to them. Mathworks suggested I request eSignal to make that field accessible to the Datafeed Toolbox. You mention the "new API in development" - can you put in the request that it specifically permits a timestamp be made available for the Matlab GetData command?



      • #4
        Hi Lyric,

        Though not specifically related to Matlab, the requirements specification for our new API has been submitted, and does contain a timestamp field for snapshots.
        Developer Support


        • #5
          Thanks for the update. Good news indeed. Any rough idea as to when such a timestamp will be integrated into the API? There is no mention of that field in the 2012 Matlab routines.