Is there any way to create candlestick on ODD TimeSpan from tick data by using xbar function.

[she wenhao]

ear All KDB+ Gurus,

I have tick Data and I know that  I could convert it to minute bar easily by this way:

"select High:  max Price, Low: min Price, Open: first Price, Close: last Price by  1 xbar Time.minute from Trade where Symbol = `BAC"

And the tickdata looks like this:

Time                Symbol        Price

---------------------------------------------------

09:30:01.333       BAC            9.10

......

Now is my question, is  there any possible to convert the tick data into candlestick on some weird timespan? From example, 5 seconds, 7 seconds or 55 seconds. I know it sounds  weird but  just curious whether here is any advance command or function I  could use?

Thanks in advance.

Best

Wenhao

  

[Kim Kuen Tang]

Do you mean this?

select High:  max Price, Low: min Price, Open: first Price, Close: last Price by  5 xbar Time.second from Trade where Symbol = `BAC

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[she wenhao]

Thanks lot  Kuentang,

Yes, it is. I tried some  ODD timespan on this like by 7 xbar Time.second from Trade where Symbol = `BAC and it rocks. Really interesting that I could have some 7 second or 77 second bar, lol

Have a nice day~~~

Wenhao

[Bohák András]

If you liked 7 seconds, how about 7.123?:)

select High: max Price, Low: min Price, Open: first Price, Close: last Price by 7123 xbar Time from Trade where Symbol = `BAC

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[abcfoots]

bin is useful if you want to aggregate over a non uniform grid

r:`s#09:30:01.333 09:31:02.332 09:35:00.0 10:40:00.0
select max[price],min[price]by Symbol,Time:r@r bin Time from trade

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