ks_unni

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ks_unni
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  • AshN
    Hi ...
    My name is Ashutosh. I gone through your query on resampling tick data to minute. I am facing similar problem. I am extracting price and volume from tick data and when I resample using pandas resampling method, I get correct OHLC however the volume per minute are wrong and I cant see any pattern within error.
    I am summing volumes for all ticks in a minute to arrive a total volume for the minute.
    I am too developing python strategy for VWAP.
    Would help if you can give any pointers from your experience.
    Thank you
    Regards
    Ashutosh
    January 2022