billpwchan / futu_algo

Futu Algorithmic Trading Solution (Python) 基於富途OpenAPI所開發量化交易程序
Apache License 2.0
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Stock Data Custom Interval #35

Open billpwchan opened 2 years ago

billpwchan commented 2 years ago

When converting 1M stock data to any time interval greater than 60M, it creates discrepancy between the generated file & actual file due to the non-trading hours.

For instance, for 1H interval, the suggested key timestamps are

  1. 9:30
  2. 10:30
  3. 11:30
  4. 12:00 -> Creating issue because the difference is only 30M between this one as the previous timestamp

Need to update the logic to support this types of conversion using 1M-based stock data.