Volume of the minute = volume of last tick - volume of first tick.
As per this calculation, first 2 minutes of the day are significantly different. rest of the day it is almost similar.
please see the image below
Since my strategy is based on vwap,…
not capturing all ticks. just to ask this question.. I dumped it.
I just need the logic to calculate volume of a 1 minute, or 5 minute which is same or similar to the historical data of same period..
logic for 1 minute is enough, since 5 min volume …
Here is the first minute tick data for RELIANCE..
and the same minutes, 1 minute ohlc retried through historical data.
you can see that the total of volume differnces during 9:15 is 96138
and the volume got for 9:15 through historical data is 13…
I'll comment after analysing the initial ticks tomorrow. unfortunately today is a holiday.
I also think someone from zerodha , should look into this discussion, because there must be some straight forward way to fetch the volume at any time of the d…
two more questions, if the 9:15:00 tick contains cumulative volume of pre-market minutes, how do we extract that particular ticks volume? what do we subtract?
if I start my script for web socket streaming by the middle of the day, say at 11am or af…
Thanks @RED ,
This code is being executed from a worker thread.
From the websockets, I simply puts the tick to a queue and worker thread separates the tick for each instruments and calls the function of each instrument object.. So, it works fine wi…
Ok @RED, Thanks.. I read your answer again and I think I understood about the cumulative volume, so what about the very first tick get at 9:15:00 Does that contain the previous days last tick volume or is it just the volume of that second?
I have python class that represents each instruments..
I'm separating ticks for each instruments and pass to this class.. and here is the code that makes my ohlc..
everything is working fine in this code except volume.. please help me..
def inse…
I'm not resampling 1min to 5min.
I'm resampling ticks to 5min, I'm taking maximum of "volume" from ticks during each 5 min.
example:
for 9:15 candle -> max of 9:15:00, 9:15:01, 9:15:02... 9:19:58, 9:19:59
and its a too big value than it is suppo…
Traceback (most recent call last):
File "C:\Code\SwingFinder\SwingFinder.py", line 67, in
fno_instruments[str(instrument)].get_data()
File "C:\Code\SwingFinder\instrument.py", line 53, in get_data
self.data["15m"] = self.fetchOHLC("15m…
