Tick Data to Open High Low Close

[Hiei]

Hi,
Anyone know how to convert tick data to Open High Low Close format?

 

[NetTecture]

Sure, simple.

* Run through all tick daa.
* Take first tisk as open, last as close, highiest as high, lowest as low.

Issues:

* Open/CLose are NOT THE REAL THING. Contrary to what many people think today, Open and close are published special rates, not the first and last tick. So, unless your tick data has this one shown (mine has), and you can take them.... you may be off a little. Not so relevant on electronic exchanges than on pits.

THe rest is a matter of simple trivial programming.

 

[Hiei]

Thanks NetTecture. It will be a real challenge to run through couple of years of tick data to identify the open, high low and close for say 5 mins. Do you know any software of macros that can do this?

 

[NetTecture]

Not sure.I write my own software for stuff like that Working on my own data storage backend.

I would not call running through a 2-3 digit gigabyte size file a challenge at all. Takes some time, but it is a low level task for a beginner programmer. 5 min aggregation is not exactly complicated either.

What data are we talking about here? Stocks? Futures?

 

[Charlton]

Thanks NetTecture. It will be a real challenge to run through couple of years of tick data to identify the open, high low and close for say 5 mins. Do you know any software of macros that can do this?

It would probably help if you included a couple of rows of the tick data you have, so that others can look at the format.

Any decent database along with its extraction tool would be able to process that. For example you could load it into oracle and use SQL to convert the date/time data into five minute blocks and use min, max, first and last functions grouping by the 5 minute timestamp.

It's not difficult to do with tools like that. I think even Microsoft access would do it, as long as the date/time stamp on the data was suitable.

Charlton

 

[Hiei]

Thanks NetTucture. Unfortunately, I'm not any programmer

I'm talking about Futures data here.

Thanks Charton. I'll try to look at loading in MS Access. Cheers.

 

[NetTecture]

If you run into problems I could possibly do it for you. I am interested in a copy of the data in exchange I look for a back tick data source for testing.