High level Matlab API that interacts with the Wharton Reasearch Data Services (WRDS) Unix server and its SAS data sets through SSH2.
First, run wrds_install() or add all relevant paths manually. You are ready to use wrds.
- An account with WRDS of the type that admits SSH connections (PhD or above). See WRDS's account types for details.
- Java enabled
Connect to WRDS Unix servers
w = wrds('username', 'password')
Execute commands
w.cmd('cmdstring')
Check what specific datasets a (database) library has
w.getDatasetNames('libref')
Check info for a dataset you want to download
w.getDatasetInfo('libref.datasetname')
and, if you get an empty result, then your institution might not have acces to that particular database. Check on https://wrds-web.wharton.upenn.edu/wrds/mywrds/subscriptions.cfm? which databases you are subscribed on!
Download the dataset to a zipped .csv
w.getDataset('libref.datasetname')
Switch off verbosity
w.isVerbose = false;
###Examples:
Print Hello World in the Unix shell and print result into Matlab's cmd window (Verbose)
w = wrds('olegkoma','forgiveMeIfIDontTellYou');
w.cmd('echo "Hello World!"')
Get info about the CRSPA/MSI dataset
w.getDatasetInfo('CRSPA.MSI')
ans =
...
Alphabetic List of Variables and Attributes
# Variable Type Len Format Informat Label
1 DATE Num 4 YYMMDDN8. YYMMDD8. Date of Observation
4 ewretd Num 8 10.6 E13.6 Equal-Weighted Return-incl. dividends
5 ewretx Num 8 10.6 E13.6 Equal-Weighted Return-excl. dividends
7 spindx Num 8 8.2 8.2 Level of the S&P 500 Index
6 sprtrn Num 8 10.6 E13.6 Return on the S&P 500 Index
9 totcnt Num 8 5. 5. Total Market Count
8 totval Num 8 14.2 E13.6 Total Market Value
11 usdcnt Num 8 5. 5. Count of Securities Used
10 usdval Num 8 14.2 E13.6 Market Value of Securities Used
2 vwretd Num 8 10.6 E13.6 Value-Weighted Return-incl. dividends
3 vwretx Num 8 10.6 E13.6 Value-Weighted Return-excl. dividends
...
Download it
w.getDataset('CRSPA.MSI')