如何將tic數據轉換爲5分鐘OHLC？

我正在學習KDB +並已將Tic數據加載到表W中，如下所示。我的問題是，如何將數據傳輸到5（或n）分鐘OHLCVA？如何將tic數據轉換爲5分鐘OHLC？

"Stk_ID","Date","Time","Price","Chg","Vol","Amt","Ty" 
300032,2011-03-03,09:51:40,20.40,0.00,10.0,20400.0,S 
300032,2011-03-03,09:51:30,20.40,-0.01,9.0,18360.0,S 
300032,2011-03-03,09:51:00,20.41,0.01,2.0,4082.0,B 
300032,2011-03-03,09:51:00,20.40,-0.01,115.0,234599.0,S 
300032,2011-03-03,09:50:45,20.41,0.00,10.0,20410.0,S 
300032,2011-03-03,09:50:45,20.41,-0.02,7.0,14287.0,S 
300032,2011-03-03,09:50:20,20.43,-0.01,4.0,8172.0,S 
300032,2011-03-03,09:50:05,20.44,0.01,25.0,51100.0,B 
300032,2011-03-03,09:50:00,20.43,-0.01,28.0,57204.0,S

我用這樣的Q代碼得到1分鐘的數據，但不知道如何得到5分鐘。：

select Open: first price,High: max price, Low: min price,Close: last price,Vol: sum vol, Amt: sum amt,Avg_Price: ((sum amt)%(sum vol))%100 by stk_id,time.hh,time.mm from asc W

結果：

stk_id hh mm| Open High Low Close Vol Amt   Avg_Price 
------------| ---------------------------------------------------- 
000001 9 30| 16.24 16.24 16.22 16.24 3253 5282086  16.23758 
000001 9 31| 16.22 16.24 16.21 16.21 1974 3204276  16.2324 
000001 9 32| 16.23 16.23 16.2 16.2 3764 6102207  16.21203 
000001 9 33| 16.21 16.21 16.19 16.2 4407 7143120  16.20858 
000001 9 34| 16.2 16.2 16.19 16.19 1701 2756614  16.20584 
000001 9 35| 16.19 16.21 16.19 16.21 2756 4466988  16.20823 
000001 9 36| 16.22 16.25 16.22 16.24 3123 5076089  16.25389 
000001 9 37| 16.25 16.27 16.25 16.27 1782 2897340  16.25892

來源

2011-11-30 bigbug

不是通過time.hh然後time.mm單獨分組，我建議你做一個燎組：

by stk_id,time.minute

從那裏，所有你需要做的5分鐘桶是使用xbar：

by stk_id,5 xbar time.minute

來源

2011-12-05 15:58:24 mollmerx

謝謝你的答案 – bigbug

如何將tic數據轉換爲5分鐘OHLC？

回答

相關問題