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Getting past 30day minute data into algo

Hi!

I've been wrestling with this for a while but: How do I get historical minute day data for the past 30 days into my algorithm?

Do I build it up iteratively?

Would appreciate any help,

Thanks

3 responses

You can use the history function to get a trailing window of data: https://www.quantopian.com/help#ide-history

To get historical minute bars for the last 30 days you can do:

prices = history(11700, '1m', 'price')  

Out of curiosity, is there a reason why you want minutely data? If you're looking for the price at the end of each day, for the last 30 days, try this:

prices = history(30, '1d', 'price')  
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Thanks for the reply Alisa, working now ( I realize now I was using the back-tester in daily mode instead of minute mode while using '1m' in history)

Yep - with minute data I can get more accurate measurement of volatility.

To request the minutely data, you will need to change the backtest mode from "daily" to "minute".

Note that querying 11,700 bars of minutely data will make the backtest run slowly. If you don't want to wait, you can run a full backtest and walk away. It will keep running on a server and you ran return to view the performance when the backtest finished running.