Hello Darell,

To my knowledge, there is no '240min bar mode' available. Do you actually need OHLCV bars that are 240 minutes long? Or something else?

With a little cleverness, you should be able to construct custom bars, but handle_data will still be called every minute (typically).

You might have a look 'history' on the help page. In particular, when frequency='1d', the data returned are:

Returned Data

The returned data for daily history, for each day, is:

close_price: the close of the last minute bar for that day. For the current day, the most recent close is returned.  
price: same as close_price.  
open_price: the open of the first minute bar of the given day.  
volume: the sum of all minute volumes. For the current day, the sum of volume thus far.  
high: the max of the minute highs for the given day.  
low: the min of the minute bar lows for the given day.

So, when you are 240 minutes into a given day, history can give you an OHLCV bar. Or do you need the 240 minute bar on a rolling basis?

Grant

Thanks for getting back. What i meant was how to run the moving averages, entries, exits and everything else in 240min mode (on a rolling basis)
so if i have 50period moving average in the formula, it would be 50ma of last 240min price bars.

Hope its clear now, its pretty basic stuff so should be simple
thanks

Is this what you need? --Grant

import pandas as pd

def initialize(context):  
    context.stock = sid(8554) 

def handle_data(context, data):  
    price = history(240,'1m','price')  
    price_ma = pd.rolling_mean(price,50)  
    print price_ma.tail(1)  

Are you looking to make 240 minute bars, then from the last 50 of those bars, work with them to get things like the moving average? If so, I don't think history is the best candidate, because it is slow storing 12,000 bars and we just need 1/240th of that. I used a deque to store the close prices we need. But a solution more like Grant's does have the advantage that it doesn't need to warm up, while this takes a week or two of backtest time.

Gus and Grant - Thanks, i can now tinker on and will ask more as needed