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Assuming the ticks have timestamps with at least one second accuracy, just
order them into 5 minute blocks using your Python programs.
Eg.
A 5 minute bar with timestamp 10:05 contains data from 10:00:01 through
10:05:00
A 5 minute bar with timestamp 10:10 bar contains data from 10:05:01 through
10:10:00
Open = first tick >= bar start time
High = highest tick
Low = lowest tick
Close = Last tick recorded <= bar end time
Volume = sum of tick volumes
Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe, UK & USA -
www.premiumdata.net
From: Iulian Panait [mailto:iulian.panait@xxxxxx]
Sent: Sunday, 3 September 2006 7:27 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Transforming tick data into 5min data
Hello everybody,
I trade on 3 or 4 markets, among them the Romanian Stock Exchange.
Unfortunatelly here nobody offers data feed like on FX or NYSE and I have to
find "original" solutions. For example I can receive a tick summary of the
trades which I modify with a program designed by me in Python in order to
extract tick data in Metastock format.
My problem is that this tick data very soon (3-4 months) reaches the maximum
database size permited by Metastock (65500 records for each symbol). I will
be a great for me if I could transform those ticks in 5minute format because
these way I coud store 5-6 years of data (and have a more significand
history on intraday charts) instead of only 2-3 months.
So if anyone could give me a hint on how to transform Metastock tick data
into 5 min format, I will be gratefull.
[Non-text portions of this message have been removed]
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