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Computing hourly bars and hourly high from tick data
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Francisco  
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 More options Feb 12, 4:27 am
From: Francisco <frango...@gmail.com>
Date: Sun, 12 Feb 2012 01:27:36 -0800 (PST)
Local: Sun, Feb 12 2012 4:27 am
Subject: Computing hourly bars and hourly high from tick data
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Hello,

I'm a newcomer to Q and I need some help with my initial doubts:

My  tick database have these colums:

DateTime                BidPrice AskPrice
-----------------------------------------
2010.05.01T18:17:37.000 1.32875  1.32975
2010.05.02T05:05:36.000 1.3289   1.3299
2010.05.02T18:19:49.000 1.32865  1.33015
2010.05.02T18:19:58.000 1.32895  1.33045
2010.05.02T18:30:50.000 1.3287   1.3307
2010.05.02T18:30:59.000 1.3296   1.3316
2010.05.02T18:32:05.000 1.3299   1.3319
2010.05.02T18:44:00.000 1.3304   1.3324
2010.05.02T18:54:05.000 1.3324   1.3344
2010.05.02T18:54:15.000 1.33125  1.33325
2010.05.02T18:54:41.000 1.33146  1.33346
2010.05.02T18:54:41.000 1.33151  1.33351
2010.05.02T18:54:41.000 1.33177  1.33377

Here is where I need help

I want to add three columns: HourlyBar HourlyHighBid and
HourlyHighAsk:

With these results (computed by hand):

DateTime                BidPrice AskPrice HourlyBar HourlyHighBid
HourlyHighAsk
--------------------------------------------------------------------------- ---------------
2010.05.01T18:17:37.000 1.32875  1.32975 2010.05.01T18:00:00.000
1.32875  1.32975
2010.05.02T05:05:36.000 1.3289   1.3299  2010.05.02T05:00:00.000
1.3289   1.3299
2010.05.02T18:19:49.000 1.32865  1.33015 2010.05.02T18:00:00.000
1.32865  1.33015
2010.05.02T18:19:58.000 1.32895  1.33045 2010.05.02T18:00:00.000
1.32895  1.33045
2010.05.02T18:30:50.000 1.3287   1.3307  2010.05.02T18:00:00.000
1.32895  1.3307
2010.05.02T18:30:59.000 1.3296   1.3316  2010.05.02T18:00:00.000
1.3296   1.3316
2010.05.02T18:32:05.000 1.3299   1.3319  2010.05.02T18:00:00.000
1.3299   1.3319
2010.05.02T18:44:00.000 1.3304   1.3324  2010.05.02T18:00:00.000
1.3304   1.3324
2010.05.02T18:54:05.000 1.3324   1.3344  2010.05.02T18:00:00.000
1.3324   1.3344
2010.05.02T18:54:15.000 1.33125  1.33325 2010.05.02T18:00:00.000
1.3324   1.3344
2010.05.02T18:54:41.000 1.33146  1.33346 2010.05.02T18:00:00.000
1.3324   1.3344
2010.05.02T18:54:41.000 1.33151  1.33351 2010.05.02T18:00:00.000
1.3324   1.3344
2010.05.02T18:54:41.000 1.33177  1.33377 2010.05.02T18:00:00.000
1.3324   1.3344

How can I get these result using Q? Shoud I use xbar function? How?

Best regards


 
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Attila Vrabecz  
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 More options Feb 12, 5:57 am
From: Attila Vrabecz <attila.vrab...@gmail.com>
Date: Sun, 12 Feb 2012 10:57:17 +0000
Local: Sun, Feb 12 2012 5:57 am
Subject: Re: [personal kdb+] Computing hourly bars and hourly high from tick data
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update HourlyHighBid:max BidPrice,HourlyHighAsk:max AskPrice by HourlyBar:(01:00%24:00)xbar DateTime from table

As DateTime is floating point days, so 1%24 is one hour.

Note that I would suggest using timestamp instead of datetime, in that case it would be
(`long$0D1)xbar timestamp

Cheers,
  Attila
On 12 Feb 2012, at 09:27, Francisco wrote:


 
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Francisco  
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 More options Feb 12, 1:58 pm
From: Francisco <frango...@gmail.com>
Date: Sun, 12 Feb 2012 10:58:44 -0800 (PST)
Local: Sun, Feb 12 2012 1:58 pm
Subject: Re: [personal kdb+] Computing hourly bars and hourly high from tick data
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Hello,

Thanks for your help Attila.

I need that the columns return the highest value in each hour period as
found in real time, using as input data current row and older (excluding
future data).

Best regards


 
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Francisco  
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 More options Feb 12, 1:48 pm
From: Francisco <frango...@gmail.com>
Date: Sun, 12 Feb 2012 10:48:43 -0800 (PST)
Local: Sun, Feb 12 2012 1:48 pm
Subject: Re: Computing hourly bars and hourly high from tick data
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Hello,

Thanks for your help.

The command that you suggest returns the highest value in each hour
period, but it has unwanted prophetic capabilities as since  the first
tick in each hour is returned the highest value even if it appears in
the minute 59.

The columns as I need them should contain the highest value as found
in real time using as inputs only the current row and older (former
rows in the table...)

Best regards

Francisco

On Feb 12, 11:57 am, Attila Vrabecz <attila.vrab...@gmail.com> wrote:


 
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wp  
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 More options Feb 12, 4:48 pm
From: wp <walter1...@gmail.com>
Date: Sun, 12 Feb 2012 21:48:07 +0000
Local: Sun, Feb 12 2012 4:48 pm
Subject: Re: [personal kdb+] Computing hourly bars and hourly high from tick data
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maybe you could just offset, as in

update HourlyHighBid:max BidPrice,HourlyHighAsk:max AskPrice by
HourlyBar:(01:00%24:00)+(01:00%24:00)xbar DateTime from table


 
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Francisco  
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 More options Feb 13, 4:52 pm
From: Francisco <frango...@gmail.com>
Date: Mon, 13 Feb 2012 13:52:35 -0800 (PST)
Local: Mon, Feb 13 2012 4:52 pm
Subject: Re: Computing hourly bars and hourly high from tick data
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Perhaps I'm totally wrong but I had this idea:

Getting the temporal position (tp) of each row in its hourly bar and using
that position to compute mmax of the tp rows should return the instant
hourly high.

Does that sound more or less right?

I have no idea about how to implement this idea. Please, can anyone comment
on this?

Cheers

Francisco


 
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junan duan  
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 More options Feb 17, 1:15 am
From: junan duan <junan.d...@gmail.com>
Date: Fri, 17 Feb 2012 00:15:04 -0600
Local: Fri, Feb 17 2012 1:15 am
Subject: Re: [personal kdb+] Re: Computing hourly bars and hourly high from tick data
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update HourlyHighBid:(maxs;BidPrice) fby
HourlyBar,HourlyHighAsk:(maxs;AskPrice) fby HourlyBar from update
HourlyBar:(1%24) xbar DateTime from t

Regards,

Junan


 
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Francisco  
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 More options Feb 17, 6:56 am
From: Francisco <frango...@gmail.com>
Date: Fri, 17 Feb 2012 03:56:05 -0800 (PST)
Local: Fri, Feb 17 2012 6:56 am
Subject: Re: Computing hourly bars and hourly high from tick data
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Thanks a lot!!

Francisco

On Feb 17, 7:15 am, junan duan <junan.d...@gmail.com> wrote:


 
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