Tickbar generator

tickbar_generator.py

# expects a numpy array with trades
# each trade is composed of: [time, price, quantity]
def generate_tickbars(ticks, frequency=1000):
    times = ticks[:,0]
    prices = ticks[:,1]
    volumes = ticks[:,2]
    res = np.zeros(shape=(len(range(frequency, len(prices), frequency)), 6))
    it = 0
    for i in range(frequency, len(prices), frequency):
        res[it][0] = times[i-1]                        # time
        res[it][1] = prices[i-frequency]               # open
        res[it][2] = np.max(prices[i-frequency:i])     # high
        res[it][3] = np.min(prices[i-frequency:i])     # low
        res[it][4] = prices[i-1]                       # close
        res[it][5] = np.sum(volumes[i-frequency:i])    # volume
        it += 1
    return res