How to access history volume by time?

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How to access history volume by time?

Adham Al-Harazi

posted

API Seeking Help

hello everyone,

I am new here, and trying to access the history data-set by time for example:

exchange_time = pd.Timestamp(get_datetime()).tz_convert('US/Eastern')

vol_first15minutes = history(20*390, '1m','volume')  

for v in vol_first15minutes:  
    if exchange_time.hour == 9 and (exchange_time.minute >= 30 and exchange_time.minute <= 45):  
   # I want to get the volume if that bar was between 9:30 and 9:45

Any help is highly appreciated

2 responses

Adham Al-Harazi

Ok I found a way, here it is

dframe = history(390, '1m', 'volume')  # pandas dataframe

# loop through all stocks  
for stock in data:  
        # loop through the whole series  
        for i in range(0,len(dframe)):  
            if dframe[stock].index.hour[i] == 9+4 and dframe[stock].index.minute[i] == 45:  
                print dframe[stock][i]

if any one got a more efficient way please share

Adham Al-Harazi

another more efficient way is to use the between_time pandas method

for stock in data:  
        vol_frame = history(20*390, '1m', 'volume')[stock]  
        context.vol_dict['9:30-9:45'] = vol_frame.between_time('13:30','13:45').cumsum()

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.