clear all
close all
clc

set(0,'defaulttextfontsize',12);
set(0,'defaultaxesfontsize',12);
set(0,'defaultlinelinewidth',2);
set(0,'defaultlinemarkersize',12);

tickers={'^vix','^vxn','^vxd','^rvx','^gvz','^vxtlt','^VVIX'};
title_mtx={'SPY','QQQ','DOW','RUS','GLD','TLT','VIX'};

%%
%%% Read historical data from Yahoo Finance
clear Y Y0

figure(length(findobj('type','figure'))+1)
for i0=1:length(tickers)

    try
        Y0=getMarketDataViaYahoo(char(tickers(i0)),'23-Jan-2001',datetime('today'),'1d');
        Y(i0).Date          = datenum(Y0{:, 1});
        Y(i0).Open          = table2array(Y0(:, 2));
        Y(i0).High          = table2array(Y0(:, 3));
        Y(i0).Low           = table2array(Y0(:, 4));
        Y(i0).Close         = table2array(Y0(:, 5));
        Y(i0).AdjClose      = table2array(Y0(:, 6));
        Y(i0).Volume        = table2array(Y0(:, 7));
        Y(i0).Ticker        = char(tickers(i0));


        percentile_rank=percentile_rank_calculator(Y(i0).Close);


        subplot(4,2,i0)
        plot(100*percentile_rank)

        if i0==1 || i0==3 || i0==5 || i0==7
            ylabel('Rank [%]')
        end

        title([char(title_mtx(i0)) ': ' num2str(100*percentile_rank(end),3)])

    catch
        subplot(4,2,i0)
        plot(nan*1)
        text(0.1,0.5,'data not available')
        title(char(title_mtx(i0)))
        continue
    end
end

%%% Functions are defined below %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
function percentile_rank=percentile_rank_calculator(X)

X_steps=linspace(min(X),max(X),1000)';
percentaile_rank=[];
for i0=1:length(X_steps)
    counter=0;
    for i1=1:length(X)
        if X(i1)<=X_steps(i0)
            counter=counter+1;
        end
    end
    percentaile_rank=[percentaile_rank; counter/length(X)];
end

X_rank=interp1(X_steps,percentaile_rank,X);
percentile_rank=X_rank;

end

function data = getMarketDataViaYahoo(symbol, startdate, enddate, interval)
% Downloads market data from Yahoo Finance for a specified symbol and
% time range.
%
% INPUT:
% symbol    - is a ticker symbol i.e. 'AMD', 'BTC-USD'
% startdate - the date from which the market data will be requested
% enddate   - the market data will be requested till this date
% interval  - the market data will be returned in this intervals
% supported intervals are '1d', '5d', '1wk', '1mo', '3mo'
%
% OUTPUT:
% data - is a retrieved  dataset returned as a table
%
% Example:
%   data = getMarketDataViaYahoo('AMD', '1-Jan-2018', datetime('today'), '5d');
%
% Author: Artem Lenskiy, PhD
% Version: 1.13
%
% Special thanks to Patryk Dwórznik (https://github.com/dworznik) for
% a hint on JavaScript processing.
%
% Alternative approach is given here
% https://stackoverflow.com/questions/50813539/user-agent-cookie-workaround-to-web-scraping-in-matlab
%
% Another approach taken form WFAToolbox is to send a post request as
% follows:
% urlread(url, 'post',{'matlabstockdata@yahoo.com', 'historical stocks'})

if(nargin() == 1)
    startdate = posixtime(datetime('1-Jan-2018'));
    enddate = posixtime(datetime()); % now
    interval = '1d';
elseif (nargin() == 2)
    startdate = posixtime(datetime(startdate));
    enddate = posixtime(datetime()); % now
    interval = '1d';
elseif (nargin() == 3)
    startdate = posixtime(datetime(startdate));
    enddate = posixtime(datetime(enddate));
    interval = '1d';
elseif(nargin() == 4)
    startdate = posixtime(datetime(startdate));
    enddate = posixtime(datetime(enddate));
else
    error('At least one parameter is required. Specify ticker symbol.');
    data = [];
    return;
end

%% Send a request for data
% Construct an URL for the specific data
uri = matlab.net.URI(['https://query1.finance.yahoo.com/v7/finance/download/', upper(symbol)],...
    'period1',  num2str(int64(startdate), '%.10g'),...
    'period2',  num2str(int64(enddate), '%.10g'),...
    'interval', interval,...
    'events',   'history',...
    'frequency', interval,...
    'guccounter', 1,...
    'includeAdjustedClose', 'true');

options = weboptions('ContentType','table', 'UserAgent', 'Mozilla/5.0');
try
    data = rmmissing(webread(uri.EncodedURI, options));
catch ME
    data = [];
    warning(['Identifier: ', ME.identifier, 'Message: ', ME.message])
end
end