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SPY high and low of the day histogram
Guy Redares
posted May 5, 2020

Hello everyone,
I am new here and could use some help.
I am interested to find out the number of occurrences the SPY daily low and high happened at each 30 minute time interval, based on the maximum available history.
e.g.:
High of day 09:30-10:00: 300; 10:01-10:30: 450 ... 16:01-16:30: 230
Low of day 09:30-10:00: 200; 10:01-10:30: 350 ... 16:01-16:30: 270

Then I want to create two histograms using this data (one for the high of day and one for the low of day) which will show the probabilities of the daily low or high happening at each interval.

If anyone already did this or could direct me to a similar Python script that I could use as a template I would appreciate it a lot.

Thank you guys.

2 responses
Dan Whitnable
May 5, 2020

I believe the attached notebook does what you were envisioning. Take a look. Seems like the highs and lows generally occur in the opening and closing half hours.

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Guy Redares
May 6, 2020

Than you so much Dan!
That is super helpful.
It runs without a problem even with 1min data since 2002.

Great!

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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.