Tick data compressed into minute data? I want to pay to get this to work.

  • Thread starter Thread starter Rolf
  • Start date Start date
R

Rolf

Hi
I want to compress "tick"-data (ie trades) from a file into another file. In
the target file I want to chunk the data into EndOfDay(eod) and calculate it
into date, open, high, low, open
and volume. And I want to chunk it into minutes activity (for example 1
minute) as well.
I attach glimps of the tickdate file and example of result files.

I want to pay to get information that works. Steps for me to take or code.

Regards Rolf

Tickdata.txt
DATE,TIME,PRICE,VOLUME
12/11/2009,08:00:11,5720.00,1
12/11/2009,08:00:12,5720.00,1
12/11/2009,09:02:14,5736.50,1
12/11/2009,09:02:14,5736.50,1
12/16/2009,10:24:09,5863.00,1
12/16/2009,10:24:10,5863.00,1
12/16/2009,10:47:45,5859.50,4
12/16/2009,10:47:45,5859.50,1
12/17/2009,17:39:07,5842.00,2
12/17/2009,17:39:08,5842.00,4

eodtickdata.txt
DATE,OPEN,HIGH,LOW,CLOSE
12/11/2009,5720,5736.5,5720,5736.5,4
12/16/2009,5863,5863,5859.5,5859.5,7
12/17/2009,5842,5842,5842,5842,6

1mintickdata.txt
DATE,TIME,OPEN,HIGH,LOW,CLOSE
12/11/2009,08:00,5720,5720,5720,5720,2
.......
 
Use these two queries --
eodtickdata_1
SELECT Tickdata.Date AS TickDate, Min(Tickdata.Time) AS Open1,
Max(Tickdata.Time) AS Close1, Max(Tickdata.Price) AS High,
Min(Tickdata.Price) AS Low, Sum(Tickdata.VOLUME) AS Daily_Volume
FROM Tickdata
GROUP BY Tickdata.Date;

eodtickdata_2
SELECT eodtickdata_1.TickDate, eodtickdata_1.High, eodtickdata_1.Low,
Tickdata.PRICE AS [OPEN], Tickdata_1.PRICE AS [CLOSE],
eodtickdata_1.Daily_Volume
FROM (eodtickdata_1 INNER JOIN Tickdata ON (eodtickdata_1.TickDate =
Tickdata.date) AND (eodtickdata_1.Open1 = Tickdata.TIME)) INNER JOIN Tickdata
AS Tickdata_1 ON (eodtickdata_1.TickDate = Tickdata_1.DATE) AND
(eodtickdata_1.Close1 = Tickdata_1.TIME);
 
Thank you Karl! The eod-version is close to mine. I paste my eod version. It
is the minute version I have problem with. John W. Vinson [MVP] gave an
explanation in an answer in a "news" later. Regards Rolf

My eod version:
SELECT Tickdata.Date AS TickDate, First(Tickdata.Price) AS FörstaförPrice,
Max(Tickdata.Price) AS MaxförPrice, Min(Tickdata.Price) AS MinförPrice,
Last(Tickdata.Price) AS SistaförPrice, Sum(Tickdata.Volume) AS
SummaförVolume
FROM Tickdata
GROUP BY Tickdata.Date;
I get some double data rows when I run the "eodtickdata_2".
(PS. It is a swedish Access version)

KARL DEWEY said:
Use these two queries --
eodtickdata_1
SELECT Tickdata.Date AS TickDate, Min(Tickdata.Time) AS Open1,
Max(Tickdata.Time) AS Close1, Max(Tickdata.Price) AS High,
Min(Tickdata.Price) AS Low, Sum(Tickdata.VOLUME) AS Daily_Volume
FROM Tickdata
GROUP BY Tickdata.Date;

eodtickdata_2
SELECT eodtickdata_1.TickDate, eodtickdata_1.High, eodtickdata_1.Low,
Tickdata.PRICE AS [OPEN], Tickdata_1.PRICE AS [CLOSE],
eodtickdata_1.Daily_Volume
FROM (eodtickdata_1 INNER JOIN Tickdata ON (eodtickdata_1.TickDate =
Tickdata.date) AND (eodtickdata_1.Open1 = Tickdata.TIME)) INNER JOIN
Tickdata
AS Tickdata_1 ON (eodtickdata_1.TickDate = Tickdata_1.DATE) AND
(eodtickdata_1.Close1 = Tickdata_1.TIME);

--
Build a little, test a little.


Rolf said:
Hi
I want to compress "tick"-data (ie trades) from a file into another file.
In
the target file I want to chunk the data into EndOfDay(eod) and calculate
it
into date, open, high, low, open
and volume. And I want to chunk it into minutes activity (for example 1
minute) as well.
I attach glimps of the tickdate file and example of result files.

I want to pay to get information that works. Steps for me to take or
code.

Regards Rolf

Tickdata.txt
DATE,TIME,PRICE,VOLUME
12/11/2009,08:00:11,5720.00,1
12/11/2009,08:00:12,5720.00,1
12/11/2009,09:02:14,5736.50,1
12/11/2009,09:02:14,5736.50,1
12/16/2009,10:24:09,5863.00,1
12/16/2009,10:24:10,5863.00,1
12/16/2009,10:47:45,5859.50,4
12/16/2009,10:47:45,5859.50,1
12/17/2009,17:39:07,5842.00,2
12/17/2009,17:39:08,5842.00,4

eodtickdata.txt
DATE,OPEN,HIGH,LOW,CLOSE
12/11/2009,5720,5736.5,5720,5736.5,4
12/16/2009,5863,5863,5859.5,5859.5,7
12/17/2009,5842,5842,5842,5842,6

1mintickdata.txt
DATE,TIME,OPEN,HIGH,LOW,CLOSE
12/11/2009,08:00,5720,5720,5720,5720,2
.......






.
Click to expand...
Click to expand...
 
I get some double data rows when I run the "eodtickdata_2".
I think that if you have two recrods that the exact time that will happen.

Is the data identical?

--
Build a little, test a little.


Rolf said:
Thank you Karl! The eod-version is close to mine. I paste my eod version. It
is the minute version I have problem with. John W. Vinson [MVP] gave an
explanation in an answer in a "news" later. Regards Rolf

My eod version:
SELECT Tickdata.Date AS TickDate, First(Tickdata.Price) AS FörstaförPrice,
Max(Tickdata.Price) AS MaxförPrice, Min(Tickdata.Price) AS MinförPrice,
Last(Tickdata.Price) AS SistaförPrice, Sum(Tickdata.Volume) AS
SummaförVolume
FROM Tickdata
GROUP BY Tickdata.Date;
I get some double data rows when I run the "eodtickdata_2".
(PS. It is a swedish Access version)

KARL DEWEY said:
Use these two queries --
eodtickdata_1
SELECT Tickdata.Date AS TickDate, Min(Tickdata.Time) AS Open1,
Max(Tickdata.Time) AS Close1, Max(Tickdata.Price) AS High,
Min(Tickdata.Price) AS Low, Sum(Tickdata.VOLUME) AS Daily_Volume
FROM Tickdata
GROUP BY Tickdata.Date;

eodtickdata_2
SELECT eodtickdata_1.TickDate, eodtickdata_1.High, eodtickdata_1.Low,
Tickdata.PRICE AS [OPEN], Tickdata_1.PRICE AS [CLOSE],
eodtickdata_1.Daily_Volume
FROM (eodtickdata_1 INNER JOIN Tickdata ON (eodtickdata_1.TickDate =
Tickdata.date) AND (eodtickdata_1.Open1 = Tickdata.TIME)) INNER JOIN
Tickdata
AS Tickdata_1 ON (eodtickdata_1.TickDate = Tickdata_1.DATE) AND
(eodtickdata_1.Close1 = Tickdata_1.TIME);

--
Build a little, test a little.


Rolf said:
Hi
I want to compress "tick"-data (ie trades) from a file into another file.
In
the target file I want to chunk the data into EndOfDay(eod) and calculate
it
into date, open, high, low, open
and volume. And I want to chunk it into minutes activity (for example 1
minute) as well.
I attach glimps of the tickdate file and example of result files.

I want to pay to get information that works. Steps for me to take or
code.

Regards Rolf

Tickdata.txt
DATE,TIME,PRICE,VOLUME
12/11/2009,08:00:11,5720.00,1
12/11/2009,08:00:12,5720.00,1
12/11/2009,09:02:14,5736.50,1
12/11/2009,09:02:14,5736.50,1
12/16/2009,10:24:09,5863.00,1
12/16/2009,10:24:10,5863.00,1
12/16/2009,10:47:45,5859.50,4
12/16/2009,10:47:45,5859.50,1
12/17/2009,17:39:07,5842.00,2
12/17/2009,17:39:08,5842.00,4

eodtickdata.txt
DATE,OPEN,HIGH,LOW,CLOSE
12/11/2009,5720,5736.5,5720,5736.5,4
12/16/2009,5863,5863,5859.5,5859.5,7
12/17/2009,5842,5842,5842,5842,6

1mintickdata.txt
DATE,TIME,OPEN,HIGH,LOW,CLOSE
12/11/2009,08:00,5720,5720,5720,5720,2
.......






.
Click to expand...
Click to expand...

.
Click to expand...
 
When I try to run it now I get errors. The tabel/query Tickdata_1 is
missing. I dont find how to build it.
Rolf

KARL DEWEY said:
I think that if you have two recrods that the exact time that will happen.

Is the data identical?

--
Build a little, test a little.


Rolf said:
Thank you Karl! The eod-version is close to mine. I paste my eod version.
It
is the minute version I have problem with. John W. Vinson [MVP] gave an
explanation in an answer in a "news" later. Regards Rolf

My eod version:
SELECT Tickdata.Date AS TickDate, First(Tickdata.Price) AS
FörstaförPrice,
Max(Tickdata.Price) AS MaxförPrice, Min(Tickdata.Price) AS MinförPrice,
Last(Tickdata.Price) AS SistaförPrice, Sum(Tickdata.Volume) AS
SummaförVolume
FROM Tickdata
GROUP BY Tickdata.Date;
I get some double data rows when I run the "eodtickdata_2".
(PS. It is a swedish Access version)

KARL DEWEY said:
Use these two queries --
eodtickdata_1
SELECT Tickdata.Date AS TickDate, Min(Tickdata.Time) AS Open1,
Max(Tickdata.Time) AS Close1, Max(Tickdata.Price) AS High,
Min(Tickdata.Price) AS Low, Sum(Tickdata.VOLUME) AS Daily_Volume
FROM Tickdata
GROUP BY Tickdata.Date;

eodtickdata_2
SELECT eodtickdata_1.TickDate, eodtickdata_1.High, eodtickdata_1.Low,
Tickdata.PRICE AS [OPEN], Tickdata_1.PRICE AS [CLOSE],
eodtickdata_1.Daily_Volume
FROM (eodtickdata_1 INNER JOIN Tickdata ON (eodtickdata_1.TickDate =
Tickdata.date) AND (eodtickdata_1.Open1 = Tickdata.TIME)) INNER JOIN
Tickdata
AS Tickdata_1 ON (eodtickdata_1.TickDate = Tickdata_1.DATE) AND
(eodtickdata_1.Close1 = Tickdata_1.TIME);

--
Build a little, test a little.


:

Hi
I want to compress "tick"-data (ie trades) from a file into another
file.
In
the target file I want to chunk the data into EndOfDay(eod) and
calculate
it
into date, open, high, low, open
and volume. And I want to chunk it into minutes activity (for example
1
minute) as well.
I attach glimps of the tickdate file and example of result files.

I want to pay to get information that works. Steps for me to take or
code.

Regards Rolf

Tickdata.txt
DATE,TIME,PRICE,VOLUME
12/11/2009,08:00:11,5720.00,1
12/11/2009,08:00:12,5720.00,1
12/11/2009,09:02:14,5736.50,1
12/11/2009,09:02:14,5736.50,1
12/16/2009,10:24:09,5863.00,1
12/16/2009,10:24:10,5863.00,1
12/16/2009,10:47:45,5859.50,4
12/16/2009,10:47:45,5859.50,1
12/17/2009,17:39:07,5842.00,2
12/17/2009,17:39:08,5842.00,4

eodtickdata.txt
DATE,OPEN,HIGH,LOW,CLOSE
12/11/2009,5720,5736.5,5720,5736.5,4
12/16/2009,5863,5863,5859.5,5859.5,7
12/17/2009,5842,5842,5842,5842,6

1mintickdata.txt
DATE,TIME,OPEN,HIGH,LOW,CLOSE
12/11/2009,08:00,5720,5720,5720,5720,2
.......






.
Click to expand...

.
Click to expand...
Click to expand...
 
Back
Top