roy-themachine
commented
1 year ago Hi, Is there any eta for this enhancement? In my case I need to get the Opening price for SPX in 5 minutes intervals, with the current implementation I am only able to get the opening price of each bar in 1 minute latency, e.g. if it's 9:30am then I will only able to see the opening price for 9:30-9:35 at around 9:31:05. Assuming the granularity can be customized for 10seconds then I should be able to get the opening price at 9:30:10 or 9:30:20 to the very least. Thank you
timetraveler328
Is your feature request related to a problem? Please describe. Loading trades (ticks) in order to produce bars with granularities finer than 1min is expensive in terms of:
Describe the solution you'd like Would like to extend the REST api to allow queries for bar granularities of < 1min. It should be straightforward to generate and return bars of arbitrary granularity (with exception of daily bars, which are special given the auction prices and volume outside of market hours).
Bars with no trades (volume = 0) would not be returned, reducing bandwidth and avoiding computation on the server side.
Describe alternatives you've considered My current approach is to load ticks for my stock universe (~3000 stocks), save, compress, and then generate 10sec bars (the current granularity of interest). The process of loading the ticks took ~3 days and involved loading ~5 TB of data. Loading the bars would have been much more compact and time efficient.
Notes It would probably be impractical to precompute / save all possible bars of interest. Computing the bars on the fly from a tick series should have very little additional cost, relative to the cost of retrieving and and streaming ticks.