Time Frame Bars Question

Dustin_Lang

How are higher time frame bars accessed (i.e. 5 minute, 15 minute, etc.)?

shayne

bar_05 = md.bar.minute( start=-100, bar_size=5 )
bar_15 = md.bar.minute( start=-100, bar_size=15 )

from cloudquant.interfaces import Strategy
import itertools

class ServiceWriteFile(Strategy):
    @staticmethod
    def in_symbol_universe(symbol, md, service):
        return symbol == 'JNJ'

    def print_highs(self, service, bar):
        for time, high in itertools.izip(bar.timestamp,bar.high):
            print( '{}\t{:.2f}'.format(service.time_to_string(time, '%H:%M:%S.%f'), high) )

    def on_start(self, md, order, service, account):
        print( service.time_to_string( service.system_time ) )

        print( '\n\n1 minute bars\n' )
        self.print_highs( service, bar = md.bar.minute(start=-100) )

        print( '\n\n5 minute bars\n' )
        self.print_highs( service, bar = md.bar.minute(start=-100, bar_size=5) )

        print( '\n\n15 minute bars\n' )
        self.print_highs( service, bar = md.bar.minute(start=-100, bar_size=15) )

        service.terminate()

2016-02-16 15:59:59.676000


1 minute bars

14:19:00.000000 102.17
14:20:00.000000 102.20
14:21:00.000000 102.19
14:22:00.000000 102.27
14:23:00.000000 102.29
14:24:00.000000 102.28
14:25:00.000000 102.32
14:26:00.000000 102.32
14:27:00.000000 102.23
14:28:00.000000 102.25
14:29:00.000000 102.30
14:30:00.000000 102.32
14:31:00.000000 102.31
14:32:00.000000 102.32
14:33:00.000000 102.35
14:34:00.000000 102.30
14:35:00.000000 102.33
14:36:00.000000 102.32
14:37:00.000000 102.31
14:38:00.000000 102.28
14:39:00.000000 102.27
14:40:00.000000 102.29
14:41:00.000000 102.31
14:42:00.000000 102.31
14:43:00.000000 102.32
14:44:00.000000 102.36
14:45:00.000000 102.34
14:46:00.000000 102.33
14:47:00.000000 102.32
14:48:00.000000 102.31
14:49:00.000000 102.24
14:50:00.000000 102.20
14:51:00.000000 102.20
14:52:00.000000 102.20
14:53:00.000000 102.17
14:54:00.000000 102.15
14:55:00.000000 102.17
14:56:00.000000 102.14
14:57:00.000000 102.10
14:58:00.000000 102.08
14:59:00.000000 102.10
15:00:00.000000 102.13
15:01:00.000000 102.16
15:02:00.000000 102.16
15:03:00.000000 102.17
15:04:00.000000 102.18
15:05:00.000000 102.11
15:06:00.000000 102.12
15:07:00.000000 102.08
15:08:00.000000 102.06
15:09:00.000000 102.07
15:10:00.000000 102.13
15:11:00.000000 102.10
15:12:00.000000 102.09
15:13:00.000000 102.15
15:14:00.000000 102.18
15:15:00.000000 102.20
15:16:00.000000 102.19
15:17:00.000000 102.20
15:18:00.000000 102.16
15:19:00.000000 102.14
15:20:00.000000 102.11
15:21:00.000000 102.16
15:22:00.000000 102.16
15:23:00.000000 102.17
15:24:00.000000 102.16
15:25:00.000000 102.23
15:26:00.000000 102.27
15:27:00.000000 102.30
15:28:00.000000 102.31
15:29:00.000000 102.35
15:30:00.000000 102.34
15:31:00.000000 102.33
15:32:00.000000 102.34
15:33:00.000000 102.32
15:34:00.000000 102.30
15:35:00.000000 102.24
15:36:00.000000 102.26
15:37:00.000000 102.28
15:38:00.000000 102.27
15:39:00.000000 102.24
15:40:00.000000 102.21
15:41:00.000000 102.25
15:42:00.000000 102.29
15:43:00.000000 102.26
15:44:00.000000 102.25
15:45:00.000000 102.24
15:46:00.000000 102.20
15:47:00.000000 102.21
15:48:00.000000 102.21
15:49:00.000000 102.21
15:50:00.000000 102.20
15:51:00.000000 102.20
15:52:00.000000 102.19
15:53:00.000000 102.21
15:54:00.000000 102.22
15:55:00.000000 102.28
15:56:00.000000 102.26
15:57:00.000000 102.28
15:58:00.000000 102.31


5 minute bars

09:30:00.000000 102.80
09:35:00.000000 102.73
09:40:00.000000 102.99
09:45:00.000000 103.04
09:50:00.000000 103.05
09:55:00.000000 103.00
10:00:00.000000 102.58
10:05:00.000000 102.46
10:10:00.000000 102.25
10:15:00.000000 102.25
10:20:00.000000 102.18
10:25:00.000000 102.00
10:30:00.000000 101.84
10:35:00.000000 101.89
10:40:00.000000 102.05
10:45:00.000000 102.05
10:50:00.000000 102.05
10:55:00.000000 102.00
11:00:00.000000 102.00
11:05:00.000000 101.88
11:10:00.000000 101.92
11:15:00.000000 101.98
11:20:00.000000 102.00
11:25:00.000000 101.99
11:30:00.000000 102.01
11:35:00.000000 102.01
11:40:00.000000 101.99
11:45:00.000000 102.01
11:50:00.000000 102.16
11:55:00.000000 102.15
12:00:00.000000 102.28
12:05:00.000000 102.23
12:10:00.000000 102.07
12:15:00.000000 102.10
12:20:00.000000 102.08
12:25:00.000000 102.09
12:30:00.000000 102.20
12:35:00.000000 102.23
12:40:00.000000 102.12
12:45:00.000000 102.23
12:50:00.000000 102.31
12:55:00.000000 102.39
13:00:00.000000 102.48
13:05:00.000000 102.50
13:10:00.000000 102.55
13:15:00.000000 102.48
13:20:00.000000 102.41
13:25:00.000000 102.31
13:30:00.000000 102.26
13:35:00.000000 102.23
13:40:00.000000 102.20
13:45:00.000000 102.23
13:50:00.000000 102.18
13:55:00.000000 102.17
14:00:00.000000 102.35
14:05:00.000000 102.39
14:10:00.000000 102.40
14:15:00.000000 102.18
14:20:00.000000 102.29
14:25:00.000000 102.32
14:30:00.000000 102.35
14:35:00.000000 102.33
14:40:00.000000 102.36
14:45:00.000000 102.34
14:50:00.000000 102.20
14:55:00.000000 102.17
15:00:00.000000 102.18
15:05:00.000000 102.12
15:10:00.000000 102.18
15:15:00.000000 102.20
15:20:00.000000 102.17
15:25:00.000000 102.35
15:30:00.000000 102.34
15:35:00.000000 102.28
15:40:00.000000 102.29
15:45:00.000000 102.24
15:50:00.000000 102.22


15 minute bars

09:30:00.000000 102.99
09:45:00.000000 103.05
10:00:00.000000 102.58
10:15:00.000000 102.25
10:30:00.000000 102.05
10:45:00.000000 102.05
11:00:00.000000 102.00
11:15:00.000000 102.00
11:30:00.000000 102.01
11:45:00.000000 102.16
12:00:00.000000 102.28
12:15:00.000000 102.10
12:30:00.000000 102.23
12:45:00.000000 102.39
13:00:00.000000 102.55
13:15:00.000000 102.48
13:30:00.000000 102.26
13:45:00.000000 102.23
14:00:00.000000 102.40
14:15:00.000000 102.32
14:30:00.000000 102.36
14:45:00.000000 102.34
15:00:00.000000 102.18
15:15:00.000000 102.35
15:30:00.000000 102.34