Question on Capturing Open, High, Low, Close, with a timestamp
Dan, I have a Java app (on github) that grabs the intra-day data (1 min bars) and stores it in mongodb. Let me know if you want to take a look. Mark
On Sun, Sep 25, 2016, 9:26 PM Brian G. Peterson <brian at braverock.com> wrote:
On 09/24/2016 10:49 AM, Daniel Mack wrote:
Hello, I looking for a function that would automatically list the
timestamp of the OHLC data. The open and close are obvious but the format I am looking would be some like
2016-09-23 AAPL 114.52 09:30:00 114.58 09:31:00
111.90 13:58:00 112.22 16:00:00
I have seen a the regular inclusion of time stamp meta data, and that
would require the downloading and sorting of all intraday data and then taking the max and min of the data. I am hoping not to have to due this to sane on data transfer time and additional processing. This takes more time than the analysis does.
I currently use the getSymbols from quant mod
There is no standardized format for what you're asking for. OHLC data loses the time of the High and Low stamps. That has always been true, in every format, and from every provider. If you want higher granularity, you need to start from tick data and aggregate from there, which xts/quantmod provide multiple tools for doing. See ?to.period Regards, Brian -- Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
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Mark McClellan 251.391.3739 [[alternative HTML version deleted]]