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Retrieving historic minute data
Howie K
posted Feb 15, 2014

Hi All - completely new to this and I haven't programmed anything yet - just reading through the documentation. The algorithm I want to test will be based on per minute data (more of a high frequency trading algorithm). I've noticed in the documentation that it say "At this time, history is only supported for backtests in minute mode (minute bars), not backtests in daily mode (daily bars).", but later on it seems like this is a mistake and history only supports daily bars. Which is true?

Is there any way to be able to compare past closing prices of minute bars?

Thanks!!

2 responses
Grant Kiehne
Feb 15, 2014

Welcome Howie,

The short answer is that you can accumulate the data with custom coding, or you can use the batch transform (which eventually will be deprecated in favor of history). Eventually, I think that the path is to release a full version of history that will support a trailing window of minutely data (OHLCV).

I don't have time now, but this forum is pretty good about providing code/algorithm snippets to get you started.

Grant

Howie K
Feb 15, 2014

Thanks Grant! I will do more thorough research. I just wanted to make sure this could be done before I spent too much time here.

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