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rcadecaro/five_second_bars.py

Forked from hackingthemarkets/five_second_bars.py
Created January 3, 2023 10:18
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  1. @hackingthemarkets hackingthemarkets created this gist Dec 16, 2022.
    31 changes: 31 additions & 0 deletions five_second_bars.py
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    Original file line number Diff line number Diff line change
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    import datetime
    import pandas as pd
    from ib_insync import *

    pd.set_option('display.max_rows', None)

    ib = IB()
    ib.connect('127.0.0.1', 7496, clientId=15)

    contract = Stock('SPY', 'SMART', 'USD')

    end = datetime.datetime(2022, 11, 2, 12, 17)

    bars = ib.reqHistoricalData(
    contract,
    endDateTime=end,
    durationStr='1 D',
    barSizeSetting='5 secs',
    whatToShow='TRADES',
    useRTH=True,
    formatDate=1)

    df = util.df(bars)

    powell_start_time = "2022-11-02 14:31:15"
    powell_end_time = "2022-11-02 15:16:25"

    df = df.set_index('date')
    df = df[powell_start_time:powell_end_time]

    df.to_csv(contract.symbol + '.csv')
    544 changes: 544 additions & 0 deletions spy.csv
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    @@ -0,0 +1,544 @@
    date,open,high,low,close,volume,average,barCount
    2022-11-02 14:31:15,387.13,387.17,386.75,386.83,82173.0,386.884,444
    2022-11-02 14:31:20,386.8,387.0,386.8,386.91,38918.0,386.913,234
    2022-11-02 14:31:25,386.94,386.96,386.55,386.64,48165.0,386.749,232
    2022-11-02 14:31:30,386.64,386.95,386.59,386.86,30688.0,386.76,190
    2022-11-02 14:31:35,386.91,386.92,386.81,386.87,22270.0,386.862,130
    2022-11-02 14:31:40,386.85,386.85,386.65,386.73,15112.0,386.718,112
    2022-11-02 14:31:45,386.71,386.71,386.33,386.34,38814.0,386.503,259
    2022-11-02 14:31:50,386.31,386.47,386.2,386.43,51167.0,386.283,360
    2022-11-02 14:31:55,386.43,386.59,386.36,386.59,77731.0,386.44,411
    2022-11-02 14:32:00,386.59,386.69,386.52,386.52,32755.0,386.599,220
    2022-11-02 14:32:05,386.52,386.52,386.02,386.04,49679.0,386.291,240
    2022-11-02 14:32:10,386.03,386.19,385.98,386.15,42246.0,386.076,223
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    2022-11-02 14:32:20,386.28,386.55,386.25,386.5,26725.0,386.383,141
    2022-11-02 14:32:25,386.51,386.72,386.49,386.67,34212.0,386.613,249
    2022-11-02 14:32:30,386.69,386.77,386.65,386.67,33720.0,386.714,244
    2022-11-02 14:32:35,386.66,387.19,386.62,387.14,52512.0,386.948,329
    2022-11-02 14:32:40,387.13,387.17,386.88,387.14,42532.0,387.066,232
    2022-11-02 14:32:45,387.17,387.45,387.14,387.39,40859.0,387.249,280
    2022-11-02 14:32:50,387.44,387.45,387.26,387.38,40199.0,387.343,185
    2022-11-02 14:32:55,387.38,387.39,386.97,387.17,33615.0,387.167,150
    2022-11-02 14:33:00,387.16,387.22,386.84,387.0,51091.0,387.03,289
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    2022-11-02 14:33:10,386.86,387.04,386.81,387.04,16605.0,386.919,100
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    2022-11-02 14:33:20,386.99,387.12,386.91,387.06,18918.0,387.002,88
    2022-11-02 14:33:25,387.06,387.17,386.92,387.04,20096.0,387.052,143
    2022-11-02 14:33:30,387.03,387.13,386.99,387.02,27447.0,387.052,129
    2022-11-02 14:33:35,387.04,387.2,387.02,387.11,11580.0,387.116,83
    2022-11-02 14:33:40,387.12,387.13,386.79,386.89,13789.0,386.929,96
    2022-11-02 14:33:45,386.87,386.94,386.61,386.83,60763.0,386.843,289
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    2022-11-02 14:34:10,386.72,386.92,386.68,386.83,19058.0,386.781,95
    2022-11-02 14:34:15,386.89,387.17,386.84,387.09,32206.0,387.051,198
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    2022-11-02 14:34:50,386.85,386.86,386.78,386.84,13281.0,386.815,88
    2022-11-02 14:34:55,386.9,387.09,386.84,386.89,76842.0,386.996,436
    2022-11-02 14:35:00,386.91,386.92,386.7,386.7,23638.0,386.828,111
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    2022-11-02 14:35:15,386.83,386.97,386.8,386.93,21980.0,386.897,185
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    2022-11-02 14:35:25,386.91,387.24,386.88,387.19,24625.0,387.125,181
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    2022-11-02 14:35:35,387.73,387.93,387.63,387.65,95192.0,387.808,475
    2022-11-02 14:35:40,387.64,387.76,387.52,387.55,30898.0,387.617,162
    2022-11-02 14:35:45,387.56,388.19,387.56,388.16,148005.0,388.015,823
    2022-11-02 14:35:50,388.15,388.63,388.14,388.22,154486.0,388.446,883
    2022-11-02 14:35:55,388.25,388.46,388.02,388.42,51105.0,388.253,320
    2022-11-02 14:36:00,388.46,388.47,388.02,388.23,61893.0,388.204,368
    2022-11-02 14:36:05,388.24,388.34,387.58,387.69,93311.0,387.94,520
    2022-11-02 14:36:10,387.69,388.12,387.69,388.1,65169.0,387.898,304
    2022-11-02 14:36:15,388.11,388.28,387.66,387.74,68404.0,387.931,465
    2022-11-02 14:36:20,387.74,387.84,386.42,386.45,214600.0,387.037,1225
    2022-11-02 14:36:25,386.4,386.44,385.36,385.52,289403.0,385.919,1731
    2022-11-02 14:36:30,385.56,385.97,385.23,385.96,182330.0,385.537,896
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    2022-11-02 14:36:45,384.95,384.97,384.42,384.63,134028.0,384.617,836
    2022-11-02 14:36:50,384.65,384.84,384.22,384.33,144259.0,384.539,694
    2022-11-02 14:36:55,384.3,384.3,383.9,383.99,138305.0,384.063,765
    2022-11-02 14:37:00,383.94,384.66,383.87,384.66,158312.0,384.183,856
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    2022-11-02 14:38:00,382.57,382.75,382.37,382.64,78067.0,382.562,394
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