How to convert tic data to 5 minute OHLC?
سؤال
I am learning KDB+ and have loaded the tic data into the table W as below. My question is, how to transfer the data into 5 (or n) minutes OHLCVA?
"Stk_ID","Date","Time","Price","Chg","Vol","Amt","Ty"
300032,2011-03-03,09:51:40,20.40,0.00,10.0,20400.0,S
300032,2011-03-03,09:51:30,20.40,-0.01,9.0,18360.0,S
300032,2011-03-03,09:51:00,20.41,0.01,2.0,4082.0,B
300032,2011-03-03,09:51:00,20.40,-0.01,115.0,234599.0,S
300032,2011-03-03,09:50:45,20.41,0.00,10.0,20410.0,S
300032,2011-03-03,09:50:45,20.41,-0.02,7.0,14287.0,S
300032,2011-03-03,09:50:20,20.43,-0.01,4.0,8172.0,S
300032,2011-03-03,09:50:05,20.44,0.01,25.0,51100.0,B
300032,2011-03-03,09:50:00,20.43,-0.01,28.0,57204.0,S
I use such Q code to get 1 minute data, but don't know how to get 5 minutes . :
select Open: first price,High: max price, Low: min price,Close: last price,Vol: sum vol, Amt: sum amt,Avg_Price: ((sum amt)%(sum vol))%100 by stk_id,time.hh,time.mm from asc W
result:
stk_id hh mm| Open High Low Close Vol Amt Avg_Price
------------| ----------------------------------------------------
000001 9 30| 16.24 16.24 16.22 16.24 3253 5282086 16.23758
000001 9 31| 16.22 16.24 16.21 16.21 1974 3204276 16.2324
000001 9 32| 16.23 16.23 16.2 16.2 3764 6102207 16.21203
000001 9 33| 16.21 16.21 16.19 16.2 4407 7143120 16.20858
000001 9 34| 16.2 16.2 16.19 16.19 1701 2756614 16.20584
000001 9 35| 16.19 16.21 16.19 16.21 2756 4466988 16.20823
000001 9 36| 16.22 16.25 16.22 16.24 3123 5076089 16.25389
000001 9 37| 16.25 16.27 16.25 16.27 1782 2897340 16.25892
المحلول
Rather than grouping separately by time.hh and then time.mm, I'd recommend doing a singe group:
by stk_id,time.minute
From there, all you need to do for 5 minute buckets is use xbar:
by stk_id,5 xbar time.minute
نصائح أخرى
A slightly more dynamic version of aggregating the values:
q)b:`Date`Time`stk!(`Date;(xbar;1;`Time.minute);`Stk_ID)
q)a:`op`cp`hp`lp!((first;`Price);(last;`Price);(max;`Price);(min;`Price))
q)?[w;();b;a]
Date Time stk | op cp hp lp
-----------------| -----------------------
2011 09:50 300032| 20.41 20.43 20.44 20.41
2011 09:51 300032| 20.4 20.4 20.41 20.4
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