how to get open/close price and volume for 5 min bars?

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how to get open/close price and volume for 5 min bars?

posted Nov 15, 2015

how to get open/close price and volume for 5 min bars?

4 responses

You can use history to get a trailing window of data and then chunk them into 5 min bars using resample.

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Hi Alisa,

The numpy resample function (resample) uses the Fourier method, that means the result from resample will not match the exact open, high, low, close of the real 5 min data.

It would be useful to have a function for these conversions that everyone can to match the real values.

Thanks,
Carlos

can you possibly use the index of the open at 5 min and the last close?
window_o = data.history(stock, 'open', 5, '1m')
window_c = data.history(stock, 'close', 5, '1m')
open = window_o[-1]
close = window_c[-5]

maybe you can iterate through a range to make a new window list that is the open and close 5min apart.
i dont know, i hope this idea helps,

Tyler

Hi Tyler,

Thanks for your reply, doing iteration doesn't seem very efficient. Also, when querying the 1m data, there is no guaranteed that the returned data is 5min aligned.

I would think market data providers already support all these resolutions, maybe we just need Quantopian folks adding the hooks for us to be able to query more frequencies 3min, 5min, etc other than just 1min and daily?

Thanks,
Carlos

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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.

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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.