Platform: NinjaTrader , Multicharts and my own system
Favorite Futures: Futures
Posts: 241 since Feb 2015
Thanks: 17 given,
Python users.. any problems with this approach?
I am writing my own trading platform using python. Something similar to event driven model from QuantStarts QSForex but something more speciic to my needs.
My problem is that the Oanda API only streams tick data and not minute/hour data. So I have to convert tick data into the timeframe I require for my system . For example I am only interested in 5 minute bars.
My thought was to simply create a DataHandler that does the following
on each tick Copy the data into a Pandas dataframe with the timestamp as the DateTimeIndex
Not really a python guy yet, but I don't think you need to store all the ticks. You can just store the Open, keep track of the highest and lowest tick values. And store the Close. At the end of the 5 min. mark, use those 4 stored values to make the 5min. data record.