Possible to segment price action by ticks?

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Possible to segment price action by ticks?

Chris Nicholson

posted

Hi folks -

I'm new to Quantopian. Just trying to figure out how to translate some stuff written for ThinkorSwim.

Is it possible to segment price action by ticks or by range? Say I wanted my data to have a granularity of 5 ticks instead by minutes...

Pointers and feedback appreciated.

Chris

3 responses

Hi Chris,

Not sure what you mean. On Q, you only get minutely OHLCV bars. There are no ticks, as I understand them:

http://www.investopedia.com/terms/t/tick.asp

Grant

Chris Nicholson

Hi Grant,

Sorry I wasn't clear.

I'm referring to these kinds of momentum bars:

https://tlc.thinkorswim.com/center/charting/charts/Aggregation-Types/rangebars.html

I assume it must be possible to aggregate data based on price accumulation using OHLCV.

Best,

Chris

Chris,

The Python code is very versatile, with lots of useful modules that can be imported. However, if you need to do visualizations, the IDE backtester is not the way to go. I'd recommend looking into the research environment (you may need to request access). That said, if you know how to write code to generate the buy/sell signals you need, without visualization, then you could just jump right into the backtester.

Anyway, that's my novice perspective. Maybe someone with more trading experience can chime in.

Grant

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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.