Compute variable within time interval

14 次查看（过去 30 天）
Dung Nguyen
Dung Nguyen 2019-11-10
回答： Anmol Dhiman 2019-11-15
Hello everyone, I have problem when compute a variable within time interval. In more detail, my dataset is as below:
Time 04:00:00 04:00:01 ......
Bid Price 100 101...
Ask Price 111 112......
I want to creare a new variable named "Spread" for each 1-minute interval. "Spead" = (Ask-Bid)/(0.5*(Ask+Bid))
Ask is the lowest ask price in 1-minute interval. Bid is the highest bid in 1-minute interval.
Thank you so much. I really appreciate your help. I am a new beginner with Matlab.

请先登录，再回答此问题。

回答（1 个）

Anmol Dhiman
Anmol Dhiman 2019-11-15
Hi,
You may find the below code useful for solving the problem.
% Changing the time format
datetime.setDefaultFormats('default','hh:mm::ss')
t1 = datetime(0,0,0,4,0,0);
t2 = datetime(0,0,0,4,59,59);
Time = (t1:seconds(1):t2).';
% Enter your BidPrice and AskPrice here
BidPrice = randi([0,200],3600,1);
AskPrice = randi([200,400],3600,1);
TT = timetable(Time,BidPrice,AskPrice);
% Defining Interval for Grouping Time of 1-minute
TT.time_interval = datetime(0,0,0,hour(TT.Time),minute(TT.Time),0);
% Calculating the minimum AskPrice and Maximum BidPrice in 1-minute time interval
Ask_min_timetable = varfun(@min,TT,'GroupingVariables','time_interval','InputVariables','AskPrice');
Bid_max_timetable = varfun(@max,TT,'GroupingVariables','time_interval','InputVariables','BidPrice');
Ask_min = Ask_min_timetable.min_AskPrice;
Bid_max = Bid_max_timetable.max_BidPrice;
% Calculating "Spead"
Spead = 2*(Ask_min - Bid_max)./(Ask_min + Bid_max);
Hope it helps.

类别

在 Help Center 和 File Exchange 中查找有关 Shifting and Sorting Matrices 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by