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debaonline4u/Nifty_26_march.csv

Last active April 6, 2021 13:42
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Tick data to minutes OHLC data
Raw
live_tick_minute_OHLC.py
# Here seconds tick data is converted to per minute OHLC
import pandas as pd
import numpy as np
from datetime import date
# Here I have kept tick data in the dataframe
path = '/home/debashis/Data/Finance_Data/Live_data_work/scripts/Tick_data3/'
df_nifty_bank = pd.read_csv(path+'Nifty_26_march.csv', low_memory=False)
df_nifty_bank.head()
# timestamp is treated as date_time here
df_nifty_bank['timestamp'] = pd.to_datetime(df_nifty_bank['timestamp'])
df_nifty_bank.head()
'''
Task:
- Present data in each seconds
- Generate OHLC for each minute
'''
# Returns the current local date
# today = date.today()
today = '2021-03-26'
print("Today date is: ", today)
start_time = str(today)+' 09:15:00'
end_time = str(today)+' 15:29:00'
print('Start time: {0}, End time: {1}'.format(start_time, end_time))
# create minute-wise timestamp
time_bin_1_min = pd.date_range(start=start_time, end = end_time, freq='1min')
print('Length of Minutes data: ', len(time_bin_1_min))
# Create the data frame
required_columns = ['Date', 'Open', 'High', 'Low', 'Close', 'Volume']
df_minute_data = pd.DataFrame(columns=required_columns)
df_minute_data.head()
# Create empty lists to store data
date, open_, high, low, close, volume = [], [], [], [], [], []
for x in range(len(time_bin_1_min)-1):
# Collect all LTP data for this minute
start_minute = time_bin_1_min[x]
end_minute = time_bin_1_min[x+1]
# print('Time Range: {0} to {1}'.format(start_minute, end_minute))
# Create the mask
mask = ((df_nifty_bank['timestamp'] >= start_minute) & (df_nifty_bank['timestamp'] < end_minute))
df_temp = df_nifty_bank.loc[mask]
temp_open = df_temp.ltp.values[0]
temp_low = min(df_temp.ltp.values)
temp_high = max(df_temp.ltp.values)
temp_close = df_temp.ltp.values[-1]
temp_volume = np.mean(df_temp.volume.values)
# print('Open, High, Low, Close: ', temp_open, temp_high, temp_low, temp_close)
date.append(start_minute)
open_.append(temp_open)
high.append(temp_high)
low.append(temp_low)
close.append(temp_close)
volume.append(temp_volume)
df_minute_data.Date = date
df_minute_data.Open = open_
df_minute_data.High = high
df_minute_data.Low = low
df_minute_data.Close = close
df_minute_data.Volume = volume
# Save per minute data to disk
df_minute_data.to_csv('/home/debashis/Data/Finance_Data/Live_data_work/Minutes_data/'+str(today)+'_per_minutes_NIFTY_.csv',
index=False)
Raw
Nifty_26_march.csv
We can't make this file beautiful and searchable because it's too large.
timestamp ltp volume
2021-03-26 09:15:49 14487.7 0
2021-03-26 09:15:50 14489.6 0
2021-03-26 09:15:51 14490.35 0
2021-03-26 09:15:52 14492.2 0
2021-03-26 09:15:53 14493.95 0
2021-03-26 09:15:54 14492.9 0
2021-03-26 09:15:55 14493.5 0
2021-03-26 09:15:56 14494 0
2021-03-26 09:15:57 14495.75 0
2021-03-26 09:15:58 14496.2 0
2021-03-26 09:15:59 14493.25 0
2021-03-26 09:16:00 14494.1 0
2021-03-26 09:16:01 14492.4 0
2021-03-26 09:16:02 14491.15 0
2021-03-26 09:16:03 14489.95 0
2021-03-26 09:16:04 14488.15 0
2021-03-26 09:16:05 14485.6 0
2021-03-26 09:16:06 14485.8 0
2021-03-26 09:16:07 14484.9 0
2021-03-26 09:16:08 14484.55 0
2021-03-26 09:16:09 14480.3 0
2021-03-26 09:16:10 14478.5 0
2021-03-26 09:16:11 14475.5 0
2021-03-26 09:16:12 14473.1 0
2021-03-26 09:16:13 14472.35 0
2021-03-26 09:16:14 14471.25 0
2021-03-26 09:16:15 14472.8 0
2021-03-26 09:16:16 14471.25 0
2021-03-26 09:16:17 14467.55 0
2021-03-26 09:16:18 14461.25 0
2021-03-26 09:16:19 14464.4 0
2021-03-26 09:16:20 14462.1 0
2021-03-26 09:16:21 14462.95 0
2021-03-26 09:16:22 14465.7 0
2021-03-26 09:16:23 14466 0
2021-03-26 09:16:24 14472.65 0
2021-03-26 09:16:25 14474.15 0
2021-03-26 09:16:26 14477.8 0
2021-03-26 09:16:27 14478.9 0
2021-03-26 09:16:28 14482.5 0
2021-03-26 09:16:29 14482.15 0
2021-03-26 09:16:30 14490.05 0
2021-03-26 09:16:31 14487.85 0
2021-03-26 09:16:32 14488.4 0
2021-03-26 09:16:33 14489.95 0
2021-03-26 09:16:34 14488.5 0
2021-03-26 09:16:35 14488.2 0
2021-03-26 09:16:36 14483 0
2021-03-26 09:16:37 14484.05 0
2021-03-26 09:16:38 14482.7 0
2021-03-26 09:16:39 14482.25 0
2021-03-26 09:16:40 14474.65 0
2021-03-26 09:16:41 14477.25 0
2021-03-26 09:16:42 14477.85 0
2021-03-26 09:16:43 14480.1 0
2021-03-26 09:16:44 14481.8 0
2021-03-26 09:16:45 14482.25 0
2021-03-26 09:16:46 14481.35 0
2021-03-26 09:16:47 14481.1 0
2021-03-26 09:16:48 14482.05 0
2021-03-26 09:16:49 14479.75 0
2021-03-26 09:16:50 14479.45 0
2021-03-26 09:16:51 14477.55 0
2021-03-26 09:16:52 14478.05 0
2021-03-26 09:16:53 14478.95 0
2021-03-26 09:16:54 14475.9 0
2021-03-26 09:16:55 14473.65 0
2021-03-26 09:16:56 14471.4 0
2021-03-26 09:16:57 14470.35 0
2021-03-26 09:16:58 14469.1 0
2021-03-26 09:16:59 14468.9 0
2021-03-26 09:17:00 14468.4 0
2021-03-26 09:17:01 14469.6 0
2021-03-26 09:17:02 14469.55 0
2021-03-26 09:17:03 14470.45 0
2021-03-26 09:17:04 14473.3 0
2021-03-26 09:17:05 14474.7 0
2021-03-26 09:17:06 14474.35 0
2021-03-26 09:17:07 14472.1 0
2021-03-26 09:17:08 14472.35 0
2021-03-26 09:17:09 14473.8 0
2021-03-26 09:17:10 14472.65 0
2021-03-26 09:17:11 14470.45 0
2021-03-26 09:17:12 14470.45 0
2021-03-26 09:17:13 14470.6 0
2021-03-26 09:17:14 14469.05 0
2021-03-26 09:17:15 14468.35 0
2021-03-26 09:17:16 14469.6 0
2021-03-26 09:17:17 14471.7 0
2021-03-26 09:17:18 14473.85 0
2021-03-26 09:17:19 14473.65 0
2021-03-26 09:17:20 14472.25 0
2021-03-26 09:17:21 14473.1 0
2021-03-26 09:17:22 14473.75 0
2021-03-26 09:17:23 14473.7 0
2021-03-26 09:17:24 14472.45 0
2021-03-26 09:17:25 14471.8 0
2021-03-26 09:17:26 14473.65 0
2021-03-26 09:17:27 14473.25 0
2021-03-26 09:17:28 14471 0
2021-03-26 09:17:29 14470.95 0
2021-03-26 09:17:30 14470.35 0
2021-03-26 09:17:31 14469.1 0
2021-03-26 09:17:32 14468.95 0
2021-03-26 09:17:33 14468.2 0
2021-03-26 09:17:34 14466.95 0
2021-03-26 09:17:35 14467.25 0
2021-03-26 09:17:36 14466.2 0
2021-03-26 09:17:37 14466.6 0
2021-03-26 09:17:38 14466.1 0
2021-03-26 09:17:39 14463.9 0
2021-03-26 09:17:40 14462.3 0
2021-03-26 09:17:41 14462.8 0
2021-03-26 09:17:42 14461.25 0
2021-03-26 09:17:43 14461.05 0
2021-03-26 09:17:44 14461.2 0
2021-03-26 09:17:45 14460.65 0
2021-03-26 09:17:46 14459.85 0
2021-03-26 09:17:47 14459.75 0
2021-03-26 09:17:48 14460.1 0
2021-03-26 09:17:49 14458.65 0
2021-03-26 09:17:50 14459.7 0
2021-03-26 09:17:51 14459.85 0
2021-03-26 09:17:52 14460.9 0
2021-03-26 09:17:53 14461.35 0
2021-03-26 09:17:54 14462.1 0
2021-03-26 09:17:55 14464.05 0
2021-03-26 09:17:56 14462.4 0
2021-03-26 09:17:57 14463.55 0
2021-03-26 09:17:58 14463.75 0
2021-03-26 09:17:59 14464.3 0
2021-03-26 09:18:00 14464.6 0
2021-03-26 09:18:01 14465.65 0
2021-03-26 09:18:02 14464.85 0
2021-03-26 09:18:03 14467.55 0
2021-03-26 09:18:04 14467.95 0
2021-03-26 09:18:05 14468.3 0
2021-03-26 09:18:06 14468.9 0
2021-03-26 09:18:07 14469.4 0
2021-03-26 09:18:08 14470.4 0
2021-03-26 09:18:09 14470.6 0
2021-03-26 09:18:10 14470.75 0
2021-03-26 09:18:11 14472.8 0
2021-03-26 09:18:12 14475.05 0
2021-03-26 09:18:13 14475.75 0
2021-03-26 09:18:14 14475.3 0
2021-03-26 09:18:15 14476.15 0
2021-03-26 09:18:16 14476 0
2021-03-26 09:18:17 14475.2 0
2021-03-26 09:18:18 14473.25 0
2021-03-26 09:18:19 14476.3 0
2021-03-26 09:18:20 14475.65 0
2021-03-26 09:18:21 14477.15 0
2021-03-26 09:18:22 14479.3 0
2021-03-26 09:18:23 14481.3 0
2021-03-26 09:18:24 14481.8 0
2021-03-26 09:18:25 14482.8 0
2021-03-26 09:18:27 14483.55 0
2021-03-26 09:18:28 14483.15 0
2021-03-26 09:18:29 14485.35 0
2021-03-26 09:18:30 14485.1 0
2021-03-26 09:18:31 14485.65 0
2021-03-26 09:18:32 14487.2 0
2021-03-26 09:18:33 14486.4 0
2021-03-26 09:18:34 14483.6 0
2021-03-26 09:18:35 14482.1 0
2021-03-26 09:18:36 14483.4 0
2021-03-26 09:18:37 14484.45 0
2021-03-26 09:18:38 14486.1 0
2021-03-26 09:18:39 14487.7 0
2021-03-26 09:18:40 14485.95 0
2021-03-26 09:18:41 14486.05 0
2021-03-26 09:18:42 14486.3 0
2021-03-26 09:18:43 14485.35 0
2021-03-26 09:18:44 14487 0
2021-03-26 09:18:45 14485.9 0
2021-03-26 09:18:46 14484.55 0
2021-03-26 09:18:47 14480.15 0
2021-03-26 09:18:48 14479.8 0
2021-03-26 09:18:49 14481.15 0
2021-03-26 09:18:50 14482.35 0
2021-03-26 09:18:51 14482.05 0
2021-03-26 09:18:52 14481.2 0
2021-03-26 09:18:53 14481.2 0
2021-03-26 09:18:54 14481.6 0
2021-03-26 09:18:55 14482.35 0
2021-03-26 09:18:56 14482 0
2021-03-26 09:18:57 14482.7 0
2021-03-26 09:18:58 14482.7 0
2021-03-26 09:18:59 14482.75 0
2021-03-26 09:19:00 14481.25 0
2021-03-26 09:19:01 14482.15 0
2021-03-26 09:19:02 14481.8 0
2021-03-26 09:19:03 14482.25 0
2021-03-26 09:19:04 14482.05 0
2021-03-26 09:19:05 14482.8 0
2021-03-26 09:19:06 14483.2 0
2021-03-26 09:19:07 14483.05 0
2021-03-26 09:19:08 14483.1 0
2021-03-26 09:19:09 14481.75 0
2021-03-26 09:19:10 14481.2 0
2021-03-26 09:19:11 14480.65 0
2021-03-26 09:19:12 14480.3 0
2021-03-26 09:19:13 14477.65 0
2021-03-26 09:19:14 14477.65 0
2021-03-26 09:19:15 14477.9 0
2021-03-26 09:19:16 14471.8 0
2021-03-26 09:19:17 14470.5 0
2021-03-26 09:19:18 14471.5 0
2021-03-26 09:19:19 14471.75 0
2021-03-26 09:19:20 14473.25 0
2021-03-26 09:19:21 14473.3 0
2021-03-26 09:19:22 14473.3 0
2021-03-26 09:19:23 14473.7 0
2021-03-26 09:19:24 14474.15 0
2021-03-26 09:19:25 14474.3 0
2021-03-26 09:19:26 14474.05 0
2021-03-26 09:19:27 14473.15 0
2021-03-26 09:19:28 14471.7 0
2021-03-26 09:19:29 14472.55 0
2021-03-26 09:19:30 14472.15 0
2021-03-26 09:19:31 14467.1 0
2021-03-26 09:19:32 14469.05 0
2021-03-26 09:19:33 14469.1 0
2021-03-26 09:19:34 14469.2 0
2021-03-26 09:19:35 14469.15 0
2021-03-26 09:19:36 14469.85 0
2021-03-26 09:19:37 14468.95 0
2021-03-26 09:19:38 14469.55 0
2021-03-26 09:19:39 14469.15 0
2021-03-26 09:19:40 14468.9 0
2021-03-26 09:19:41 14469 0
2021-03-26 09:19:42 14468.1 0
2021-03-26 09:19:43 14468.25 0
2021-03-26 09:19:44 14467.05 0
2021-03-26 09:19:45 14467.45 0
2021-03-26 09:19:46 14462.15 0
2021-03-26 09:19:47 14461.45 0
2021-03-26 09:19:48 14466.4 0
2021-03-26 09:19:49 14466.45 0
2021-03-26 09:19:50 14465.75 0
2021-03-26 09:19:51 14466 0
2021-03-26 09:19:52 14467.45 0
2021-03-26 09:19:53 14467.15 0
2021-03-26 09:19:54 14465.25 0
2021-03-26 09:19:55 14464.4 0
2021-03-26 09:19:56 14464.3 0
2021-03-26 09:19:57 14463.8 0
2021-03-26 09:19:58 14462.7 0
2021-03-26 09:19:59 14462.55 0
2021-03-26 09:20:00 14462.4 0
2021-03-26 09:20:01 14462.85 0
2021-03-26 09:20:02 14462.4 0
2021-03-26 09:20:03 14464.4 0
2021-03-26 09:20:04 14466.9 0
2021-03-26 09:20:05 14468.1 0
2021-03-26 09:20:06 14468.5 0
2021-03-26 09:20:07 14470.55 0
2021-03-26 09:20:08 14470.3 0
2021-03-26 09:20:09 14473.15 0
2021-03-26 09:20:10 14473.2 0
2021-03-26 09:20:11 14473.15 0
2021-03-26 09:20:12 14475.5 0
2021-03-26 09:20:13 14474.25 0
2021-03-26 09:20:14 14473.95 0
2021-03-26 09:20:15 14472.3 0
2021-03-26 09:20:16 14470.6 0
2021-03-26 09:20:17 14470.05 0
2021-03-26 09:20:18 14469.5 0
2021-03-26 09:20:19 14470 0
2021-03-26 09:20:20 14470.2 0
2021-03-26 09:20:21 14469.9 0
2021-03-26 09:20:22 14469.95 0
2021-03-26 09:20:23 14463.8 0
2021-03-26 09:20:24 14466.55 0
2021-03-26 09:20:25 14464.75 0
2021-03-26 09:20:26 14463.65 0
2021-03-26 09:20:27 14463.9 0
2021-03-26 09:20:28 14460.3 0
2021-03-26 09:20:29 14460.35 0
2021-03-26 09:20:30 14460 0
2021-03-26 09:20:31 14459.9 0
2021-03-26 09:20:32 14451.35 0
2021-03-26 09:20:33 14451.8 0
2021-03-26 09:20:34 14453.1 0
2021-03-26 09:20:35 14453.2 0
2021-03-26 09:20:36 14452.35 0
2021-03-26 09:20:37 14453.15 0
2021-03-26 09:20:38 14453.5 0
2021-03-26 09:20:39 14451.6 0
2021-03-26 09:20:40 14451.25 0
2021-03-26 09:20:41 14447.7 0
2021-03-26 09:20:42 14447.6 0
2021-03-26 09:20:43 14448 0
2021-03-26 09:20:44 14448.9 0
2021-03-26 09:20:45 14448.55 0
2021-03-26 09:20:46 14450.55 0
2021-03-26 09:20:47 14450.25 0
2021-03-26 09:20:48 14448.4 0
2021-03-26 09:20:49 14447.85 0
2021-03-26 09:20:50 14450.2 0
2021-03-26 09:20:51 14449.7 0
2021-03-26 09:20:52 14449.65 0
2021-03-26 09:20:53 14449.6 0
2021-03-26 09:20:54 14445.95 0
2021-03-26 09:20:55 14445.9 0
2021-03-26 09:20:56 14446.45 0
2021-03-26 09:20:57 14444.6 0
2021-03-26 09:20:58 14445.75 0
2021-03-26 09:20:59 14446.35 0
2021-03-26 09:21:00 14445.2 0
2021-03-26 09:21:01 14443.15 0
2021-03-26 09:21:02 14442.35 0
2021-03-26 09:21:03 14443.8 0
2021-03-26 09:21:04 14443.1 0
2021-03-26 09:21:05 14445.05 0
2021-03-26 09:21:06 14446.45 0
2021-03-26 09:21:07 14445.7 0
2021-03-26 09:21:08 14446.35 0
2021-03-26 09:21:09 14447.5 0
2021-03-26 09:21:10 14448.7 0
2021-03-26 09:21:11 14451.65 0
2021-03-26 09:21:12 14450.05 0
2021-03-26 09:21:13 14451.75 0
2021-03-26 09:21:14 14451.55 0
2021-03-26 09:21:15 14452.95 0
2021-03-26 09:21:16 14455.95 0
2021-03-26 09:21:17 14453.3 0
2021-03-26 09:21:18 14452.75 0
2021-03-26 09:21:19 14452.75 0
2021-03-26 09:21:20 14453.15 0
2021-03-26 09:21:21 14453.3 0
2021-03-26 09:21:22 14454.65 0
2021-03-26 09:21:23 14454.8 0
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2021-03-26 09:21:26 14456.75 0
2021-03-26 09:21:27 14457.55 0
2021-03-26 09:21:28 14458.15 0
2021-03-26 09:21:29 14459.4 0
2021-03-26 09:21:30 14459.9 0
2021-03-26 09:21:31 14459 0
2021-03-26 09:21:32 14459.5 0
2021-03-26 09:21:33 14460.2 0
2021-03-26 09:21:34 14461.45 0
2021-03-26 09:21:35 14463.3 0
2021-03-26 09:21:36 14464.65 0
2021-03-26 09:21:37 14464.35 0
2021-03-26 09:21:38 14464.9 0
2021-03-26 09:21:39 14465.35 0
2021-03-26 09:21:40 14462.4 0
2021-03-26 09:21:41 14462.1 0
2021-03-26 09:21:42 14460.6 0
2021-03-26 09:21:43 14458.75 0
2021-03-26 09:21:44 14457.3 0
2021-03-26 09:21:45 14457.1 0
2021-03-26 09:21:46 14456.8 0
2021-03-26 09:21:47 14456.25 0
2021-03-26 09:21:48 14456.3 0
2021-03-26 09:21:49 14457.4 0
2021-03-26 09:21:50 14459.9 0
2021-03-26 09:21:51 14460.1 0
2021-03-26 09:21:52 14462.05 0
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2021-03-26 09:21:54 14461.25 0
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2021-03-26 09:21:57 14459.35 0
2021-03-26 09:21:58 14459.5 0
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2021-03-26 09:22:00 14457.55 0
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2021-03-26 09:22:03 14455.55 0
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2021-03-26 09:22:06 14456.05 0
2021-03-26 09:22:07 14455.25 0
2021-03-26 09:22:08 14454.3 0
2021-03-26 09:22:09 14453 0
2021-03-26 09:22:10 14453.35 0
2021-03-26 09:22:11 14453.15 0
2021-03-26 09:22:12 14453.4 0
2021-03-26 09:22:13 14451.15 0
2021-03-26 09:22:14 14449.75 0
2021-03-26 09:22:15 14449.7 0
2021-03-26 09:22:16 14450.5 0
2021-03-26 09:22:17 14448.65 0
2021-03-26 09:22:18 14448.6 0
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2021-03-26 09:22:20 14450.6 0
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@debaonline4u
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If you want NSE data both Live tick data and NSE minute data, refer this below repository.
https://github.com/debaonline4u/NSE-Data

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