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I am sure there is an example for this somewhere, but I am having trouble finding it: if I want to work with windows of tick data (say, the last 10 minutes worth, or whatever),, how do I actually do it? And is the format for the "window" a pandas dataframe, or something else? Any words of wisdom appreciated.
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Jing Wu
Hi Igor, please refer to this post to get the tick data
The number of ticks in the last 10 minutes is not a fixed number while the rolling window is used to save a fixed number of the data point. Therefore, you can only save the last N-ticks in a rolling window instead of all ticks in a fixed time horizon. Rolling Window is not a dataframe. It's a list of data point. The type of the data is defined in the rolling window. You can save a list of Decimal, float numbers, or TradeBars, QuoteBars. Please see the documentation.
Igor Rivin
Thanks! I will look at the docs, now that I know where to look...
Igor Rivin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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