Creating Bars#
We create 1-minute bars (bucket_interval=60 seconds) below.
import onetick.py as otp
trd = otp.DataSource('US_COMP_SAMPLE', tick_type='TRD')
trd = trd.character_present(trd['COND'], 'O6TUHILNRWZ47QMBCGPV', discard_on_match=True)
bars = trd.agg({'VOLUME': otp.agg.sum('SIZE'),
'HIGH': otp.agg.max('PRICE'),
'LOW': otp.agg.min('PRICE'),
'OPEN': otp.agg.first('PRICE'),
'COUNT': otp.agg.count(),
'CLOSE': otp.agg.last('PRICE')},
bucket_interval=otp.Minute(1))
otp.run(
bars,
symbols=['AAPL'],
start=otp.dt(2024, 2, 1, 9, 30),
end=otp.dt(2024, 2, 1, 10),
timezone='EST5EDT'
)
| Time | VOLUME | HIGH | LOW | OPEN | COUNT | CLOSE | |
|---|---|---|---|---|---|---|---|
| 0 | 2024-02-01 09:31:00 | 405208 | 184.3600 | 183.8200 | 183.9850 | 2147 | 184.2850 |
| 1 | 2024-02-01 09:32:00 | 269872 | 184.4600 | 183.9600 | 184.2850 | 1395 | 184.2099 |
| 2 | 2024-02-01 09:33:00 | 259842 | 184.8712 | 184.0100 | 184.2000 | 1330 | 184.4900 |
| 3 | 2024-02-01 09:34:00 | 214295 | 185.0800 | 184.3900 | 184.4800 | 1061 | 184.9593 |
| 4 | 2024-02-01 09:35:00 | 241206 | 185.2100 | 184.7900 | 184.9685 | 1042 | 185.0212 |
| 5 | 2024-02-01 09:36:00 | 186926 | 185.2900 | 184.9300 | 185.0300 | 966 | 185.2200 |
| 6 | 2024-02-01 09:37:00 | 176105 | 185.2250 | 184.8200 | 185.2250 | 970 | 184.9450 |
| 7 | 2024-02-01 09:38:00 | 154281 | 185.2200 | 184.7500 | 184.9500 | 898 | 185.0600 |
| 8 | 2024-02-01 09:39:00 | 146778 | 185.2100 | 184.8800 | 185.0650 | 878 | 184.9400 |
| 9 | 2024-02-01 09:40:00 | 201106 | 185.3389 | 184.9400 | 184.9500 | 841 | 185.1550 |
| 10 | 2024-02-01 09:41:00 | 154387 | 185.3400 | 184.8709 | 185.1500 | 832 | 185.3300 |
| 11 | 2024-02-01 09:42:00 | 165414 | 185.3500 | 185.0700 | 185.3173 | 668 | 185.3300 |
| 12 | 2024-02-01 09:43:00 | 226133 | 185.6400 | 185.3200 | 185.3400 | 956 | 185.4900 |
| 13 | 2024-02-01 09:44:00 | 121385 | 185.6200 | 185.3500 | 185.5000 | 634 | 185.5700 |
| 14 | 2024-02-01 09:45:00 | 129403 | 185.6400 | 185.2100 | 185.5700 | 590 | 185.2200 |
| 15 | 2024-02-01 09:46:00 | 262331 | 185.2262 | 184.6500 | 185.2100 | 1166 | 184.8800 |
| 16 | 2024-02-01 09:47:00 | 95166 | 185.1600 | 184.8900 | 184.8900 | 587 | 185.0201 |
| 17 | 2024-02-01 09:48:00 | 116609 | 185.0900 | 184.7000 | 185.0350 | 688 | 184.9400 |
| 18 | 2024-02-01 09:49:00 | 104638 | 185.0000 | 184.7200 | 184.9650 | 605 | 184.7900 |
| 19 | 2024-02-01 09:50:00 | 86386 | 184.9200 | 184.7300 | 184.7800 | 456 | 184.7950 |
| 20 | 2024-02-01 09:51:00 | 126998 | 184.8880 | 184.6850 | 184.8100 | 728 | 184.7100 |
| 21 | 2024-02-01 09:52:00 | 87979 | 184.9288 | 184.6200 | 184.7100 | 525 | 184.9000 |
| 22 | 2024-02-01 09:53:00 | 82921 | 185.0500 | 184.7700 | 184.9100 | 435 | 184.9600 |
| 23 | 2024-02-01 09:54:00 | 94808 | 185.1450 | 184.9400 | 184.9700 | 490 | 185.0200 |
| 24 | 2024-02-01 09:55:00 | 90658 | 185.2000 | 184.9900 | 185.0300 | 514 | 185.0300 |
| 25 | 2024-02-01 09:56:00 | 91304 | 185.1500 | 184.9550 | 185.0340 | 515 | 185.0500 |
| 26 | 2024-02-01 09:57:00 | 109770 | 185.1450 | 184.9749 | 185.0200 | 566 | 185.0419 |
| 27 | 2024-02-01 09:58:00 | 87780 | 185.1550 | 184.9900 | 185.0550 | 500 | 185.0600 |
| 28 | 2024-02-01 09:59:00 | 88513 | 185.2500 | 185.0400 | 185.0650 | 348 | 185.2150 |
| 29 | 2024-02-01 10:00:00 | 136385 | 185.5000 | 185.2000 | 185.2150 | 647 | 185.5000 |
Note: OneTick Cloud has minute bars precomputed and available in *_BARS databases under the tick type TRD_1M.
Daily OHLCV data with the official closing prices is also available: see OHLCV.
Note the use of apply_times_daily to limit each day’s interval to 9:30-4:00pm (plus one minute is added as the minute bar for 9:30-9:31 has the timestamp of 9:31).
bars = otp.DataSource('US_COMP_BARS', tick_type='TRD_1M')
bars = bars[['FIRST', 'HIGH', 'LOW', 'LAST', 'VOLUME']]
otp.run(
bars,
symbols=['AAPL'],
start=otp.dt(2024, 2, 1, 9, 31),
end=otp.dt(2024, 2, 1, 16, 1),
timezone='EST5EDT',
apply_times_daily=True)
| Time | FIRST | HIGH | LOW | LAST | VOLUME | |
|---|---|---|---|---|---|---|
| 0 | 2024-02-01 09:31:00 | 183.9850 | 184.3600 | 183.82 | 184.2850 | 405208 |
| 1 | 2024-02-01 09:32:00 | 184.2850 | 184.4600 | 183.96 | 184.2099 | 269872 |
| 2 | 2024-02-01 09:33:00 | 184.2000 | 184.8712 | 184.01 | 184.4900 | 259842 |
| 3 | 2024-02-01 09:34:00 | 184.4800 | 185.0800 | 184.39 | 184.9593 | 214295 |
| 4 | 2024-02-01 09:35:00 | 184.9685 | 185.2100 | 184.79 | 185.0212 | 241206 |
| ... | ... | ... | ... | ... | ... | ... |
| 385 | 2024-02-01 15:56:00 | 186.5900 | 186.6900 | 186.58 | 186.6800 | 277485 |
| 386 | 2024-02-01 15:57:00 | 186.6850 | 186.6850 | 186.54 | 186.6000 | 316508 |
| 387 | 2024-02-01 15:58:00 | 186.6050 | 186.7900 | 186.57 | 186.7800 | 317427 |
| 388 | 2024-02-01 15:59:00 | 186.7850 | 186.7850 | 186.65 | 186.7600 | 366951 |
| 389 | 2024-02-01 16:00:00 | 186.7550 | 186.9500 | 186.69 | 186.8900 | 830791 |
390 rows × 6 columns