我正在学习 KDB+ 并将 tic 数据加载到表 W 中，如下所示。我的问题是，如何将数据传输到 5(或 n)分钟 OHLCVA？
"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
我用这样的Q码获取1分钟的数据，但不知道如何获取5分钟的数据。 :
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
结果:
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
最佳答案
我建议不要先按 time.hh 然后按 time.mm 分别进行分组:
by stk_id,time.minute
从那里开始，您只需使用 xbar 即可获得 5 分钟时间段:
by stk_id,5 xbar time.minute
关于stock - 如何将 tic 数据转换为 5 分钟 OHLC？，我们在Stack Overflow上找到一个类似的问题： https://stackoverflow.com/questions/8322888/