Compute variable within time interval

Question

Dung Nguyen 2019-11-10

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https://ww2.mathworks.cn/matlabcentral/answers/490266-compute-variable-within-time-interval

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.

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Oren B 2019-11-10

you can use timer object to calculet every 1 minute interval.

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Answer 1

Anmol Dhiman 2019-11-15

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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); 