Tag Archives: tick

Converting tick data to OHLC with Python pandas

Converting tick data to OHLC data using Python pandas

As I am moving from long-term position holds to short term, I was lucky enough to see this article shoot by on my Facebook feed. In order to convert market data ticks to actual open high low close bars is a very useful trick to know about. This one is done in Python but could be very useful for those that want to trade at a high-speed level.

Watch this tutorial here

I have talked about removing my “Python Infrastructure Building Block” course from my Quant Elite membership. Over the next few days, that will become a reality. This is no difference then the removal of my Interactive Brokers API workshop course last week. I hate being a Scrooge like this but it’s to prepare for the next level of my business for next year. I’m sure you get that if you continue reading over the next few weeks on my plans. I’m actually pretty excited about it after six years of so-called “research “.

Thanks Bryan

P.S. Are you part of my Facebook programming group? There is lots of action going on it where we can all learn about software development in this exciting field.
Join here https://www.facebook.com/groups/quantlabsnet/
Also stay up to date on my Facebook Page https://www.facebook.com/quantlabsnet/
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Lasly, I do post about 20-30 Bloomberg ‘video charts’ on my Instagram at https://www.instagram.com/quantlabsnet/

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Converting tick data to OHLC data using Python pandas

Most useful as I switch back to intraday high speed trading

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

IQFeed market data tick streamer with Java on Apple Mac OS

A great program I always like for any accomplished Java developer. You can also push this data in your NOSQL database like Redis

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Open TSDB for high speed tick database

This is based on open source Apache HBASE as recommended in a recent Algo Trader Youtube video I watched.

http://opentsdb.net/

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Convert tick data to OHLC?

How to convert tick data to OHLC?

I got a question from someone regarding how to convert market data ticks to OHLC (Open High Low Close). It went a little like this:

Hi Bryan are you able to process csv tick data files to OHLC 1 min bars easily? I am looking for a tool or app to do this. Let me know if you have any ideas.

Depending on the programming language, there some choices of course. Even some people in my Facebook group came up with some great ideas.

Check out the conversation and tips here

Fast numerical computing with Python NumPy

And you cannot make Python faster?

One of the solution was part of this video.

Demo of Free Chart Geany open source C++ Qt project

I found this cool Qt application which show recent updates. I may use this another potential desktop application for charting demos I will be holding in coming months. Also, it meets all my requirements of C++ while running on multiple operating systems like Linux, Mac OS X, etc.

Check out my short overview video

I will be adding this as a new option for my upcoming open source charting package LIVE lesson I hold for my Quant Elite Members which happens LIVE April 26 next Tuesday.

Module 6 Market Data Source with Yahoo Finance

Tonight at 8 PM I will be holding my:

Market Data Source with Yahoo Finance

Detail include:

Module 6 Market Data Source with Yahoo Finance

Market Data Source with Yahoo Finance In Python, there are numerous packages you could use to access Yahoo Finance which is FREE.

This is part of my “Indie Python Algo Trading Course Series”
Required to be a Quant Elite member to attend.

Go here for details on this course series with pricing options listed here:

https://quantlabs.net/blog/python-algo-course-series-for-your-indie-automated-trading-business/

Please take advantage of joining as soon as possible to jumpstart your knowledge before this LIVE event! This will be presented LIVE only once

I hope you make it out to one of these events,

Bryan

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

How to convert tick data to OHLC?

A comment from my one of my videos generated this query:

Hi Bryan are you able to process csv tick data files to OHLC 1 min bars easily? I am looking for a tool or app to do this. Let me know if you have any ideas.

Mathematically it should be possible but unable to remember it but after using Google I found:

In R http://stackoverflow.com/questions/24516309/convert-tick-data-to-ohlc-4hr-bars

Or http://www.trade2win.com/boards/trading-software/76934-tick-data-open-high-low-close.html

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Can you convert market tick data to bars?

After the presentation by Dr Ernie Chan, I wonder if this was possible based on other conversations I have had with other people:

Here is how it played out:

Do you know of any simple calculation you know of to convert tick data minute bars?

Nowadays I typically let my partner handle the tick data processing.

But this generally requires a loop which keep track of the tick values and the time elapsed. Whenever the elapsed time reaches or exceeds the duration of a bar, you save the latest tick into an array, and reset the elapsed time to zero.

This of course assumes that the tick appear in time order. If not, it can get complicated.

I always thought there was some sort of average or mid point you needed to calculate among the ticks to create the bar. That was the info I was looking for.

If your ticks are trades, then there is no midpoint or average to compute. If your ticks are bid or ask quotes, then you have to find out whether it replaces the BBO quotes. A binary search tree would be useful here. But it depends on exactly what your tick data is: every quote, or just the BBO updates.

In no cases should you use average or midpoint.

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NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!