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OHLC and volume values inside one minute
tom yitav
posted Jun 9, 2015

Hi, I'm backtesting a strategy on zipline in minute mode. When inspecting my intraday data for a certain stock, i.e., the data dictionary in handle_data, I notice that the dictionary doesn't contain open, high, or low of the past minute, but only the price and volume. Furthermore, the volume I get is always 1000 and doesn't match the values I have in my intraday data csv file. Neither can I see these values by using history with matching fields.
The CSV file contains intraday data in the format:
Date,Open,High,Low,Close,Volume
1998-04-29 13:32:00+0000,46.82,46.82,46.82,46.82,382235
1998-04-29 13:33:00+0000,46.82,46.82,46.8,46.82,35086
1998-04-29 13:34:00+0000,46.82,46.85,46.82,46.85,10872
....

and I want to know if I can somehow access those values (not for an entire day - only for 1 minute!) when backtesting, and when live trading. Thanks!

2 responses
Dan Dunn
Jun 10, 2015

You're running Zipline locally, not on the Quantopian website? In that case, you'll should probably seek help in the Zipline Google Group. They're a better troubleshooting group for that.

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tom yitav
Jun 11, 2015

Thanks Dan. I am using zipline locally, and I will also post on zipline google group from now on.
BTW I found the problem in my code, and it was that I used load_from_yahoo instead of load_bars_from_yahoo to get my data. After changing the call to load_bars_from_yahoo I was able to get the correct OHLC and volume values.

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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.