Tick2Bar

Divides a time series into periods and returns high, low, open, close, volume.

Description

TICK2BAR
[T,H,L,O,C,V]=Tick2Bar(t,p,v,g)
Divides a time series into periods of g days
(may be less than one day).
It is useful in conjunction with HIGHLOW
   [T,H,L,O,C,V]=Tick2Bar(t,p,v,g);
   highlow(H(:),L(:),C(:),O(:),'k',T(:));

It returns:

T date/time of the period
H high of the period
L low of the period
O open (first datum of the period)
C close (last datum of the period)
V volume of the period

given

t date/time
p price
v volume
g time granularity [days]

USAGE

% test data
N=1e4;
g=1/(24*60*60); % 1 minute granularity
t=([1:N]+rand(1,N)).*g; % time
p=100+rand(1,N).*10; % price
v=1e4.*rand(1,N); % volume
% add some test-NANs
a=randperm(N);
v(a(1:10))=nan;

g=1/(24*60*60); % 1 minute granularity
[T,H,L,O,C,V]=Tick2Bar(t,p,v,g);

subplot(6,1,1:2);
plot(t,p,'k');
datetick;
title('plot(t,p,''k'');')

subplot(6,1,3);
plot(t,v,'k');
datetick;
title('plot(t,v,''k'');');

subplot(6,1,4:5);
highlow(H(:),L(:),C(:),O(:),'k',T(:));
datetick;
title('highlow(H(:),L(:),C(:),O(:),''k'',T(:));');

subplot(6,1,6);
plot(T,V,'k');
datetick;
title('plot(T,V,''k'');');

h=suptitle('[T,H,L,O,C,V]=Tick2Bar(t,p,v,g);');
set(h,'FontSize',get(h,'FontSize').*2, ...
'FontWeight','Bold');

IT'S NOT FANCY BUT IT WORKS

• MATLAB release: MATLAB 6.5 (R13)

[Robert]

 

[mathworks2011]

a good effort. Doesnt support synchronous data though. ie you may have a security which trades infrequently, yet you still want to map it on a discrete grid:

function trade =cce_Tick2Bar_synchronous(t,p,g)
% error check
[t,tix]=sort(t);
p=p(tix);
vix=~isnan(p);
t=t(vix);
p=p(vix);

% create bins
mySynchTime=[floor(min(t)):g:ceil(max(t))];
[n,bin]=histc(t,mySynchTime); % n is the number of obs per bin

% pre-allocate
C=NaN(n,1);
for i = 1: length(mySynchTime)
    if(i==1)
        from = 1;
        to = cumsum(n(1:i));
        to = to(end);
    elseif(i == length(mySynchTime))
        from = cumsum(n(1:i-1));
        from = from(end);
        to =cumsum(n(1:i));
        to = to(end);
    else
        from = cumsum(n(1: i-1));
        from = from(end) + 1;
        to =cumsum(n(1:i));
        to = to(end);
    end
    % These are the index numbers you are accessing
        %disp([num2str(from) ' ' num2str(to)]);
    
    %Observe which timestamps you are taking.
        %disp(datestr(t(from:to)));
    
    % As you are interested in the close, just take the last value
    tmp = p(from:to);
    if(isempty(tmp))
        %we have no observations in that window. Thus no price change.
        tmp = C(i-1,1);
    end
    C(i,1) = tmp(end);
    clear tmp;
end

% Make sure you align correctly!
trade = timeseries(C(1:end-1), mySynchTime(2:end));

end

[mathworks2011]

sorry - copied an old version in by mistake. Pls see below:

function trade =cce_Tick2Bar_synchronous(t,p,g)
% error check
[t,tix]=sort(t);
p=p(tix);
vix=~isnan(p);
t=t(vix);
p=p(vix);

% create bins
mySynchTime=[floor(min(t)):g:ceil(max(t))];
[n,bin]=histc(t,mySynchTime); % n is the number of obs per bin

% pre-allocate
C=NaN(numel(n),1);
for i = 1: length(mySynchTime)
    if(i==1)
        from = 1;
    elseif(i == length(mySynchTime))
        from = cumsum(n(1:i-1));
        from = from(end);
    else
        from = cumsum(n(1: i-1));
        from = from(end) + 1;
    end
    to =cumsum(n(1:i));
    to = to(end);
    
    % These are the index numbers you are accessing
        %disp([num2str(from) ' ' num2str(to)]);
    
    %Observe which timestamps you are taking.
        %disp(datestr(t(from:to)));
    
    % As you are interested in the close, just take the last value
    tmp = p(from:to);
    if(isempty(tmp) && i ~=1)
        %we have no observations in that window. Thus no price change.
        tmp = C(i-1,1);
    elseif(isempty(tmp) && i ==1)
       %Special case. we are right at the start.
       tmp = p(1);
    end
    C(i,1) = tmp(end);
    clear tmp;
end

% Make sure you align correctly!
trade = timeseries(C(1:end-1), mySynchTime(2:end));

end