Pre-market data and volume average?

Pre-market data and volume average?

Kiran
2015-11-03 19:05:18

Hi,
I want to run backtest and screen on pre-market data (8-9:30am EST) where the volume is 1.5XAvgVol last 10 days of Pre-market data
My strategy is running on 30-min charts.

1) How do i ingest pre-market data for at least 1-2 quarters? Not sure i saw a Data Loader for that?

2) Pl advise formula/code for the indicator AvgVol (last 10 days of pre-market data between 8-9:30am EST).
- if it's difficult, an option is to only use volume of only the last 30minute pre-market bar (i.e. 9-9:30am).

thanks
Kiran

QuantShare
2015-11-04 04:09:43

Hi,

1/ You can import data using "Data -> ASCII Import"

2/ You can use the following function to calculate the sum of volume between 8 and 9:30 then use the "sum" function to calculate the total volume over a specific number of days and divide that result by the number of days.

Time-series Sum for the first Minutes/Hours of a Trading Day

Time-series Sum for the first Minutes/Hours of a Trading Day (by Caleb, uploaded several months ago)

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