How to build the 5 min chart from the 1 min chart?

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How to build the 5 min chart from the 1 min chart?

edited Jun 12, 2017

Hi,

This question seems to be too easy or even stupid. But truly to say I've thought all the time that the 'close' of the 5th bar on the 1-min chart is equal to the 'close' of the 1st bar of the 5-min chart. But these days I watch serveral charts from yahoo/finance or google/finance, they are not the case.

Who has right?

Assume the close of the 1-min-chart look as follow:

1: 1.10
2: 1.20
3: 1.30
4: 1.40
5: 1.50
6: 1.60
7: 1.70
8: 1.80
9: 1.90
10: 2.00
11: 2.1.0
12: 2.20
... ...

And the 'close' of the 5-min-chart should look as follow:
1:1.50
2:2.00
... ...

Cheers

2 responses

It may be more clear to look at the series with the timestamps (similar to the way they are returned by the 'data.history' method). Your example would look like this.

Timestamp('2017-06-01 13:31:00+0000', tz='UTC'): 1:10  
Timestamp('2017-06-01 13:32:00+0000', tz='UTC'): 1:20  
Timestamp('2017-06-01 13:33:00+0000', tz='UTC'): 1:30  
Timestamp('2017-06-01 13:34:00+0000', tz='UTC'): 1:40  
Timestamp('2017-06-01 13:35:00+0000', tz='UTC'): 1:50  
Timestamp('2017-06-01 13:36:00+0000', tz='UTC'): 1:60  
Timestamp('2017-06-01 13:37:00+0000', tz='UTC'): 1:70  
Timestamp('2017-06-01 13:38:00+0000', tz='UTC'): 1:80  
Timestamp('2017-06-01 13:39:00+0000', tz='UTC'): 1:90  
Timestamp('2017-06-01 13:40:00+0000', tz='UTC'): 2:00  
Timestamp('2017-06-01 13:41:00+0000', tz='UTC'): 2:10  
Timestamp('2017-06-01 13:42:00+0000', tz='UTC'): 2:20

The close of the 5 minute chart would have bars / timestamps of hh:m0 or hh:m5 like this

Timestamp('2017-06-01 13:35:00+0000', tz='UTC')  
Timestamp('2017-06-01 13:40:00+0000', tz='UTC')  
Timestamp('2017-06-01 13:45:00+0000', tz='UTC')  
Timestamp('2017-06-01 13:50:00+0000', tz='UTC')

The close price associated with each bar would then be as you stated

Timestamp('2017-06-01 13:35:00+0000', tz='UTC'):1.50  
Timestamp('2017-06-01 13:40:00+0000', tz='UTC'):2.00

To accomplish this behavior using the pandas '.resample' method one could do something like this

    close_1m = data.history(my_stocks, 'close', my_timeframe, '1m')  
    close_5m = close_1m.resample('5T', closed='right', label='right').last()

The "closed='right'" parameter includes the data from the end of the bucket (ie time 0, 5, 10 etc) in the calculation. The "label='right'" parameter labels each bucket with the last point in the bucket (otherwise we would have forward bias looking into the future). The 'last()' method simply returns the last non-NaN data value in the bucket.

However, we often don't want simply the last price but maybe the average price over the resampling period. One could do something like this

    close_1m = data.history(my_stocks, 'close', my_timeframe, '1m')  
    close_5m = close_1m.resample('5T', closed='right', label='right').mean()

By using the resample() I found out something "intersting". This is described in my another post:
https://www.quantopian.com/posts/how-to-use-the-resample-correctly?utm_campaign=how-to-use-the-resample-correctly&utm_medium=email&utm_source=forums

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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.