Intraday Trading---Converting Ticks into Bars

Sometimes it is easier to work with bars instead of ticks. In such cases, If we have Raw Tick Data, The following matlab programs would do the work for you. It is a collection of various methods that could be used to construct bars.

Tick2bar program at the matlab file exchange:



http://www.mathworks.com/matlabcentral/fileexchange/loadFile.do?objectId=3398

Another method that was posted at a forum http://www.nuclearphynance.com/


% numberOfBarsPerDay: 24 = 1 hour bars (60 minutes)
% 48 = 30 minute bars (24*60)/30
% 72 = 20 minute bars (24*60)/20
% 96 = 15 minute bars (24*60)/15
% 144 = 10 minute bars (24*60)/10
% 288 = 5 minute bars (24*60)/5
% 1440 = 1 minute bars (24*60)/1
%%--------------------------------------------------------------------------

numberOfBarsPerDay=24;
x=Bid;
datetimeGrid=(floor(datetime.*numberOfBarsPerDay))./numberOfBarsPerDay;
timeChgPointIndex=find(diff(datetimeGrid)~=0);
intervalDatetimeStart=datetimeGrid(timeChgPointIndex);
intervalDatetimeEnd=datetimeGrid(timeChgPointIndex+1);
intervalDatetimeActual=datetime(timeChgPointIndex);
intervalData=x(timeChgPointIndex);







3. Another method using histc
[numberInInterval,intervalIndex]=histc(datetime,intervals);