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
