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python convert tick data to ohlc

Allie Ubisse answered on October 29, 2022 Popularity 3/10 Helpfulness 1/10

answer python convert tick data to ohlc

python convert tick data to ohlc

Comment

nb_minutes = 10 # change to 1 for your real case
res = (
    df.set_index(pd.to_datetime(df['Timestamp'], unit='s'))
      .sort_index() # to ensure the chronological order
      ['Price'].resample(f'{nb_minutes}T') 
      .agg( {'open':'first', 'high':max, 'low':min, 'close':'last'} )
      .unstack(level=0) # to make it a dataframe
)
print(res)
                           open        high         low       close
Timestamp                                                          
2021-07-16 17:50:00  280.838577  280.838577  280.420801  280.420801
2021-07-16 18:00:00  281.976074  282.348605  280.845010  280.845010
2021-07-16 18:10:00  280.469473  280.469473  279.866868  279.866868
2021-07-16 18:20:00  279.437975  279.437975  278.989978  278.989978

Popularity 3/10 Helpfulness 1/10 Language python

Source: stackoverflow.com

Tags: ohlc python

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