trying to build minute bars from tick data

[RoughTrader]

Hi all,

I'm looking for some source code that can convert raw tick data into minute bars.

Java or C++ is fine, if someone has built a class or method, any help would be much appreciated.

Thanks a lot,

rt

 

[Tums]

Different data provider have different ways of streaming/interpreting/storing tick data.
What data base you are using?

 

[RoughTrader]

I'm using IB's data.

rt

 

[tradelink]

http://tradelink.googlecode.com

specifically here is the bar code :

http://code.google.com/p/tradelink/source/browse/trunk/TradeLib/Bar.cs

and here is a barlist which will will create bars of varying intervals automatically from ticks, like :


BarList bl = new BarList();

void gotTick(Tick t)
{
bl.newTick(t);
}

http://code.google.com/p/tradelink/source/browse/trunk/TradeLib/BarList.cs

 

[RoughTrader]

Quote from tradelink:

http://tradelink.googlecode.com

specifically here is the bar code :

http://code.google.com/p/tradelink/source/browse/trunk/TradeLib/Bar.cs

and here is a barlist which will will create bars of varying intervals automatically from ticks, like :


BarList bl = new BarList();

void gotTick(Tick t)
{
bl.newTick(t);
}

http://code.google.com/p/tradelink/source/browse/trunk/TradeLib/BarList.cs

Thanks a lot, it's much appreciated.

rt

 

[tradelink]

forgot to say you may also want to checkout the unit tests for BarLists (that define how the BarList should work and provide example for how to use) :

http://code.google.com/p/tradelink/source/browse/trunk/TradeLib/TestBarList.cs