timestamp of max and min value when using xbar for OHLC?

[William Mayott]

Hi,

 

I’m looking for an efficient way to easily grab the exact timestamps associated with the highs and the lows within a OHLC (open, high, low, close) aggregation via xbar

 

For example:

select open_timestamp: first time, open:first price, high:max price, low:min price, close:last price, last_timestamp: last time by 0D00:10:00.000000000 xbar time from trade where sym=`XXXXXX, exg=` XXXXXX

 

As shown above, it’s easy enough to grab the times of the first and the last values (open_timestamp and last_timestamp), but indexing in and getting the timestamp for the max and min values is less straight forward ..

 

I came up with  messy and verbose way to do this, but I’m sure there is a better way to do this .. via search & comparison (?) or similar which is eluding me at the moment.

 

Any ideas?

 

Thanks,

Bill

[JW Buitenhuis]

Something like the below might work for your case - A callback function that will be executed for each time slice, and which finds the index of the min/max price within that slice and uses that index to extract the relevant time value.

(I imagine this will be covered in Q Tips by Nick Psaris - I don't have my copy handy)

q)t:([]time:asc n?23:59;price:(n:10000)?100.0)

q)ohlc:{[t;p](t p?a;t p?b;a:min p;b:max p)}

q)select ohlc[time;price] by 10 xbar time.minute from t

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[hzad...@gmail.com]

Yes, this is very helpful.

On Friday, 27 July 2018 15:01:22 UTC+8, JW Buitenhuis wrote:

Something like the below might work for your case - A callback function that will be executed for each time slice, and which finds the index of the min/max price within that slice and uses that index to extract the relevant time value.

(I imagine this will be covered in Q Tips by Nick Psaris - I don't have my copy handy)

q)t:([]time:asc n?23:59;price:(n:10000)?100.0)

q)ohlc:{[t;p](t p?a;t p?b;a:min p;b:max p)}

q)select ohlc[time;price] by 10 xbar time.minute from t

On 27 July 2018 at 02:05, William Mayott <wma...@gmail.com> wrote:

Hi,

 

I’m looking for an efficient way to easily grab the exact timestamps associated with the highs and the lows within a OHLC (open, high, low, close) aggregation via xbar

 

For example:

select open_timestamp: first time, open:first price, high:max price, low:min price, close:last price, last_timestamp: last time by 0D00:10:00.000000000 xbar time from trade where sym=`XXXXXX, exg=` XXXXXX

 

As shown above, it’s easy enough to grab the times of the first and the last values (open_timestamp and last_timestamp), but indexing in and getting the timestamp for the max and min values is less straight forward ..

 

I came up with  messy and verbose way to do this, but I’m sure there is a better way to do this .. via search & comparison (?) or similar which is eluding me at the moment.

 

Any ideas?

 

Thanks,

Bill

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