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Hi:
I have posted this on the amibroker-at group as well not to mention
aussiestockforums and somewhere else that I can't remember. The
question is not directly related to Amibroker though Ami will be the
final repository of the info.
So ...
I subscribe to a data service (http://www.weblink.com.au) that
supplies me with uncleaned daily tick data from the ASX.
I'm writing a routine to transform this tick data into 1 minute bars.
and wish to achieve an accurate count of the volume for each minute of
the trading day (10:00-16:00). For example the output of the routine
should be a csv file similar to this below:
-------------------------
SYM,TIME,O,H,L,C,VOL
BHP,1002,O,H,L,C,20000
BHP,1003,O,H,L,C,50000
...
...
...
BHP,1559,O,H,L,C,1000
-------------------------
Now, I can do the tick to minute conversion with no problems
but:
I'm unsure / confused about - on how to treat ticks that have been
entered before opening (before 10:00) or after closing (after 16:00),
for example in my tick data, i have transactions that look like this:
------------------------------
SYM,DATE, TIME SEQ PRC VOL .....IGNORE
T,BHP,20090122,070535,1000001,36.0,47000,20090128, ,,EP,,,O
T,BHP,20090122,070535,1000002,36.0,1000,20090128,, ,EP,,,O
T,BHP,20090122,070535,1000003,36.0,22000,20090128, ,,EP,,,O
T,BHP,20090122,070535,1000004,37.0,13000,20090128, ,,EP,,,O
T,BHP,20090122,070536,1000005,37.0,5000,20090128,, ,EP,,,O
T,BHP,20090122,070536,1000006,37.0,11000,20090128, ,,EP,,,O
T,BHP,20090122,070536,1000007,41.0,1000,20090128,, ,EP,,,O
-----------------------------
Q1) Do I just incorporate all tick volumes (entered prior to opening)
into the volume for the first minute of trading?
Q2) Similarly for tick transactions (entered post closing) - do I just
incorporate all tick volumes into the volume for the last minute of
trading?
Any help gratefully received.
Thanks
Mark
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