mirror of
https://github.com/NicolasBohn/NexQuant.git
synced 2026-08-05 11:07:43 +00:00
TPTBusiness
37 lines
1.3 KiB
Markdown
Executable File
37 lines
1.3 KiB
Markdown
Executable File
# How to read files.
|
|
For example, if you want to read `filename.h5`
|
|
```Python
|
|
import pandas as pd
|
|
df = pd.read_hdf("filename.h5", key="data")
|
|
```
|
|
NOTE: **key is always "data" for all hdf5 files **.
|
|
|
|
# Here is a short description about the data
|
|
| Filename | Description |
|
|
| -------------- | -----------------------------------------------------------------|
|
|
| "daily_pv.h5" | EURUSD 15-minute OHLCV intraday data. |
|
|
|
|
# For different data, We have some basic knowledge for them
|
|
|
|
## EURUSD 15min intraday data
|
|
$open: open price of EURUSD at the start of the 15min bar.
|
|
$close: close price of EURUSD at the end of the 15min bar.
|
|
$high: highest price of EURUSD during the 15min bar.
|
|
$low: lowest price of EURUSD during the 15min bar.
|
|
$volume: traded volume during the 15min bar.
|
|
|
|
**IMPORTANT: There is NO $factor column. Use only $open, $close, $high, $low, $volume.**
|
|
|
|
## Market sessions (UTC)
|
|
- Asian session: 00:00 - 08:00 (mean reversion tendencies)
|
|
- London session: 08:00 - 16:00 (trending, momentum works)
|
|
- NY session: 13:00 - 21:00 (high volatility)
|
|
- London-NY overlap: 13:00 - 16:00 (highest volume)
|
|
|
|
## Lookback reference
|
|
- 4 bars = 1 hour
|
|
- 8 bars = 2 hours
|
|
- 16 bars = 4 hours
|
|
- 32 bars = 8 hours
|
|
- 96 bars = 1 day
|