Description

High level Matlab API that interacts with the Wharton Reasearch Data Services (WRDS) Unix server and its SAS data sets through SSH2.

Installation

First, run wrds_install() or add all relevant paths manually. You are ready to use wrds.

Requirements

• An account with WRDS of the type that admits SSH connections (PhD or above). See WRDS's account types for details.
• Java enabled

Syntax

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')