I am getting once minute data (OHLC) from a data feed (lmax) and I want to re-sample this to a five minute data and ten, fifteen and thirty later on.
I'm using the following logic:
Open=first value of every 5 candles (1st candle open)
High=Highest value of 5 candle
Low=Lowest value of 5 candles
Close=Close of the last candle (5th candle)
Is this the correct way to re-sample data? I feel that this is logical but for some reason there are visible differences between the data feed on their site and my code. I feel that this is the case because I re-sampled it wrong; if i was using Python, I could refer to pandas but not in C# (to my knowledge).
This is the function which resamples the data:
private static List<List<double>> normalize_candles(List<List<double>> indexed_data, int n)
{
double open = 0;
double high = 0;
double low = 5;
double close = 0;
int trunc = 0;
if (indexed_data.Count() % n != 0)
{
trunc = indexed_data.Count() % n;
for (int i = 0; i < trunc; i++)
{
indexed_data.RemoveAt(indexed_data.Count() - 1);
}
}
{
}
List<List<double>> normal_candle_data = new List<List<double>>();
for (int i = 0; i < indexed_data.Count() / n; i++)
{
high = 0;
low = 100;
open = indexed_data[i * n][0];
close = indexed_data[(i * n) + (n - 1)][3];
for (int j = 0; j < n; j++)
{
if (high < indexed_data[(i * n) + j][1])
{
high = indexed_data[(i * n) + j][1];
}
if (low > indexed_data[(i * n) + j][2])
{
low = indexed_data[(i * n) + j][2];
}
}
normal_candle_data.Add(new List<double>());
normal_candle_data[i].Add(open);
normal_candle_data[i].Add(high);
normal_candle_data[i].Add(low);
normal_candle_data[i].Add(close);
}
Console.WriteLine("\n\n");
foreach (var obj in normal_candle_data)
{
Console.WriteLine(obj[0] + "," + obj[1] + "," + obj[2] + "," + obj[3]);
}
Console.WriteLine("size of orignal data is : " + indexed_data.Count() + "\nSize of normalized data is : " + normal_candle_data.Count());
return normal_candle_data;
}
