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How to generate Weekly and Monthly OHLC Bars with Quantopian Data
John Barrero
edited

Hi,

I am trying to work with either Weekly or Monthly OHLC bars. However, I am not sure how to do it. Is it possible to use data in this time-frequency?

Thanks,
John

4 responses
John Barrero

Hi Ishwar,

Many thanks! that was exactly what I was looking for.

Cheers,
John

Boden Johnson

Did anyone find an example of how to generate weekly and monthly bars?

Vladimir

This may help

def initialize(context):  
    schedule_function(resampled_data, date_rules.week_end(), time_rules.market_close())

def resampled_data(context, data):  
    stock = symbol('SPY')  
    OHLC = data.history(stock, ['open', 'high', 'low', 'close'], 5, '1d')  
    OHLC_W = OHLC.resample('1W-FRI').agg({'open': 'first', 'high': 'max', 'low': 'min', 'close': 'last'})

    print(OHLC_W)
Blind Squirrel

Will aggregating data like this take into account the various market holidays? Good Friday, Christmas, etc.?

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