Add OHLC Bar Data To Your Algo

Add OHLC Bar Data To Your Algo

Patrick Rooney Patrick Rooney

Patrick Rooney

Power, gas, & environmentals trading | Nodal Exchange

发布日期: 2018年1月29日
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Learn how to build a series of open, high, low, close bars with volume for your algo. #TTtips

This was a code sample for building and storing 1 min OHLC values. In this example the past 4 bars are tracked as well as the current activity. The values are calculated off the time and sales block with snapshots taken every minute so it takes 4 minutes for the bar data to be loaded. If there is a 1 min period where nothing trades, a snapshot for that period will not be taken. Also, block trades have been filtered out from the time and sales feed.

Time Series Bars for OHLC and VWAP values


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