Intra-day bars...

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daveineagan22581
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Intra-day bars...

Post by daveineagan22581 » Wed Dec 19, 2012 8:45 am

I’ve been considering testing our Blox LTTF strategy using 30 or 60 minute data. Does anyone have a recommendation on where to find this data? I do not need tick or 5 minute or anything like that. 60 minute bars would be sufficient. We currently use an eod feed from Pinnacle. Thanks in advance!

Dave

Toosday
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Post by Toosday » Sat Dec 22, 2012 11:23 am

I write the data to files using output from my broker.

rhc
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Re: Intra-day bars...

Post by rhc » Sat Dec 22, 2012 9:38 pm

daveineagan22581 wrote: . . . 30 or 60 minute data. Does anyone have a recommendation on where to find this data? I do not need tick or 5 minute or anything like that
Dave,

You mention that you are not interested in tick data however it's my understanding that you can use tick data to create whatever time format you might like. (i.e. 5 minute bars, 15 minute bars, 30 min, 60min etc).
Software to accomplish this is available from the tick data vendor when you order the data.
This would provide you with maximum flexibility as far as time formats are concerned.
Check out this old blox post for further info if you are interested;
viewtopic.php?t=8460

Cheers & seasons greetings

daveineagan22581
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Post by daveineagan22581 » Sun Dec 23, 2012 11:01 am

thank you rhc!

Macro
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Re: Intra-day bars...

Post by Macro » Tue Dec 25, 2012 8:49 pm

rhc wrote:
daveineagan22581 wrote: . . . 30 or 60 minute data. Does anyone have a recommendation on where to find this data? I do not need tick or 5 minute or anything like that
You mention that you are not interested in tick data however it's my understanding that you can use tick data to create whatever time format you might like. (i.e. 5 minute bars, 15 minute bars, 30 min, 60min etc).
Software to accomplish this is available from the tick data vendor when you order the data.
This can also be accomplished with much greater flexibility using the xts package in R.

daveineagan22581
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Post by daveineagan22581 » Wed Dec 26, 2012 9:24 pm

sorry, no idea what ' xts package in R" is.

Regards,

Dave

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Post by mojojojo » Thu Dec 27, 2012 1:29 pm

daveineagan22581 wrote:sorry, no idea what ' xts package in R" is.

Regards,

Dave
R = R project = open source statistics software
http://www.r-project.org/

xts = a package/module in R used to handle data, specifically time-based data.
http://cran.r-project.org/web/packages/xts/index.html

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