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How to get RSI in 30 minutes time frame?
Kevin n
posted
Seeking Help Getting Started

Hi,

I am new here. I did search the forum for how to get RSI in 30 minutes time frame. Though similar question has been asked before, I don't see a satisfactory answer.

I clone the RSI sample and try to do :

prices_1m = data.history(context.stocks, 'price', 14*30, '1m')  
prices = prices_1m.resample('30T', closed='left')

for stock in context.stocks:  
    # Get the rsi of this stock.  
    rsi = talib.RSI(prices[stock], timeperiod=14)[-1]  
    rsis[stock] = rsi  
    print rsi

...

the rsi result is "nan". Therefore no RSI value is plotted.

Please help!

Kevin

5 responses
Nathan Wolfe

Hi Kevin,

The problem here is that when you call .resample(), your DataFrame is filled in with a bunch of additional half-hour buckets which take place while the market is closed. Since there's no data for these times, those buckets have a value of nan. This causes the RSI calculation to result in nan as well.

To remedy this I would recommend using .dropna() to remove the nans from the resampled pricing data. So your line 32 would look like this:

rsi = talib.RSI(prices[stock].dropna(), timeperiod=14)[-1]

Disclaimer

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.

Dave od

After fixing that mentioned, next problem will be the record method alllowing only daily plots.
Am I rigth?

Vladimir

@Dave od,

You can rebuild this notebook to see intraday RSI based on resampled data.
https://www.quantopian.com/posts/plot-candlestick-charts-in-research#586c07b9ab60a32f0e00003c

Dave od

That will really help. Thanks Vladimir.

Robert Fischer

Dave od - are you trying to build an algo to trade using 1 min RSI? I am, and am totally lost! Appreciate any help.

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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.