The usual format of intraday historical data

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fc
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The usual format of intraday historical data

Post by fc » Fri Jul 13, 2012 5:54 pm

I know that the text format of end-of-day data is usually given like this in a text file:

day, open, high, low, close, volume

where day is just a date without a time, e.g. 01/31/1977. Each row is simply the data for that day.

I'm wondering how intraday data is usually represented in a text file. How do the rows and columns appear, and in what kind of format is the date usually given?

Jake Carriker
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Post by Jake Carriker » Sat Jul 14, 2012 10:55 am

You can read all about the formats that Trading Blox expects in the Trading Blox User Guide in the Historical Data Setup section.

fc
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Post by fc » Sat Jul 14, 2012 7:25 pm

Jake Carriker wrote:You can read all about the formats that Trading Blox expects in the Trading Blox User Guide in the Historical Data Setup section.
That cleared up that simply one column is added with the time.

One question remains, however: Does the time refer to the beginning of the particular period (say a particular 15-minute period), or the end of it, or maybe even the middle of it?

Moto moto
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Post by Moto moto » Mon Jul 16, 2012 9:32 am

the time is usually registered as the opening of the bar.

The easy way to remember this is if you think about it like a range bar (as opposed to a time based bar).....it theoretically could last forever....and so the only known is the time the bar started.
Strongly suggest that you confirm this with your own data source, just in case.

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Post by Jake Carriker » Mon Jul 16, 2012 9:35 am

Different data vendors have different standards. Trading Blox does not care which you use, but it is likely important to you and your broker.

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