Hi,
I have a tonne of 'tick data' and I would like to produce range bars from it.
In other words, I have two columns, thousands of rows deep, one for time (dd/mm/yyyy hh:mm:ss) and another for price (for a particular stock).
What is a range bar?...
"The range bars just look price, the bar does not close at a specific time but closes when a range is complete, then a new bar opens.
If you have a market that moves from 1 to 9, then 9 to 1, then 1 to 9 during 2 days, if you create a range bar chart of $10 you will only have a bar that goes from 1 to 9 during these 2 days and this bars is not closed. If the market moves to 10 then the bar closes and a new bar opens with open price at 10. This new bar now must have $10 range to close. Let’s say the market goes back to 6 and then up to 17, the last range bar closes at 16 (making a range bar from 6 to 16) a new bar opens with open price at 16 and this bars price is now 17. This new bar has now a range of $1 (16 to 17) and will wait until a complete $10 range to close."
http://www.fibonaccitrader.com/help40/range bar/default.htm
Thanks for any assistance. I have a bad feeling that this is an impossible task but this is the best place to ask.
I have a tonne of 'tick data' and I would like to produce range bars from it.
In other words, I have two columns, thousands of rows deep, one for time (dd/mm/yyyy hh:mm:ss) and another for price (for a particular stock).
What is a range bar?...
"The range bars just look price, the bar does not close at a specific time but closes when a range is complete, then a new bar opens.
If you have a market that moves from 1 to 9, then 9 to 1, then 1 to 9 during 2 days, if you create a range bar chart of $10 you will only have a bar that goes from 1 to 9 during these 2 days and this bars is not closed. If the market moves to 10 then the bar closes and a new bar opens with open price at 10. This new bar now must have $10 range to close. Let’s say the market goes back to 6 and then up to 17, the last range bar closes at 16 (making a range bar from 6 to 16) a new bar opens with open price at 16 and this bars price is now 17. This new bar has now a range of $1 (16 to 17) and will wait until a complete $10 range to close."
http://www.fibonaccitrader.com/help40/range bar/default.htm
Thanks for any assistance. I have a bad feeling that this is an impossible task but this is the best place to ask.
