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Custom Intraday Bars

Anyone ever have trouble getting custom intraday bars (e.g. 15-minute or 30-minute bars)? Q gives you access to one-minute bars via the data.history() function that you can easily turn into any bar length that you want. Thank you pandas! This tripped me up when I got started, so hopefully it can help some of you out there.

The attached algo is setup to get variable minute bars for Apple. It logs the one-minute bars and logs the custom bars so that you can easily check to see if the bars are calculated correctly. A couple of key points:

  • How to call a function every x minutes of the trading day (lines 24-27).
  • How to use the pandas DataFrame resample function (lines 51-60).

For those that want a detailed description for how this works, you can see my write up on this.

Thanks,
Aaron

Clone Algorithm
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Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
"""
Intraday bar test
By: Aaron Eller
[email protected]
www.ExcelInTrading.com
"""

import pandas as pd
    
def initialize(context):
    """
    Quantopian function called once at the start of the algorithm.
    """
    # Verify version of Pandas used
    log.info('Current version of pandas is {}'.format(pd.__version__))
    
    # Asset to trade
    context.asset = sid(24) # AAPL
    
    # Number of minutes for the desired intraday bars
    context.intraday_bar = 5

    # Update bars every x minutes of trading day
    for i in range(1, 390): # Loop through max of 390 minutes in a trading day
        if i % context.intraday_bar == 0:
            schedule_function(get_intraday_bar, date_rules.every_day(), time_rules.market_open(minutes=i))

 
def handle_data(context, data):
    """
    Quantopian function called every minute throughout the trading day.
    """ 
    # Print one minute bars for the asset to check calculations
    ohlcv = data.current(context.asset, ['open', 'high', 'low', 'close', 'volume'])
    log.info('{}: open={}, high={}, low={}, close={}, volume={}'.format(
            context.asset.symbol, ohlcv['open'], ohlcv['high'], ohlcv['low'], ohlcv['close'], ohlcv['volume']))
    
    
def get_intraday_bar(context, data):
    """
    Function calculates historical ohlcv bars for a custom intraday period.
    """
    # Get enough data to form the past 3 intraday bars
    bar_count = context.intraday_bar * 3
    df = data.history(context.asset, ['open', 'high', 'low', 'close', 'volume'], bar_count, '1m') # returns a pandas DataFrame

    # Resample dataframe for desired intraday bar
    resample_period = str(context.intraday_bar)+'T' # T = minute frequency
    #print(df.resample(resample_period)) # print statement to see resample default values
     
    result = df.resample(resample_period, base=1).first()
    result['open'] = df['open'].resample(resample_period, base=1).first()
    result['high'] = df['high'].resample(resample_period, base=1).max()
    result['low'] = df['low'].resample(resample_period, base=1).min()
    result['close'] = df['close'].resample(resample_period, base=1).last()
    result['volume'] = df['volume'].resample(resample_period, base=1).sum()    
   
    # Log the results
    log.info('{} {} minute bar: open={}, high={}, low={}, close={}, volume={}'.format(
            context.asset.symbol, context.intraday_bar, result['open'][-1], result['high'][-1], 
            result['low'][-1], result['close'][-1], result['volume'][-1]))
There was a runtime error.
4 responses

Thanks for sharing this helper code!

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Hi Aaron,

Thanks for putting this together for intraday bars. Really helpful.

I was wondering if there's an elegant way to get INTER-day bars as well?

e.g:
4 hour interday bars. With ohlcv values calculted every 4 hours through the backtest timeframe with:
- 1st bar at 1:30 pm of day 1 (9:30am to 1:30pm = 4 hr)
- 2nd bar at 11:00 am of day 2 (1:30pm to 11:00am = 4 hr; 2.5 from last day and 1.5 from current day)
- 3rd bar at 2:00 pm of day 2 (11:00am to 3:00pm)
- 4th bar at 12:00 pm of day 3 (3:00pm to 12:00pm)
- .
- .

Thanks,
Aryaveer

Quantopian doesn't supply equity price/volume data outside of trading hours. So the coverage of any intraday bars is restricted to 9:30am-4pm, on trading days only.

@Dan Dunn - how about for 24 hour futures contracts?