I’m able to ingest custom 1m data, but my strategy requires to make use of custom intervals like 5m or 15m. Is there any way to ingest data in 5m or 15m interval or resampling the 1min candle is the only way?
Why wouldn’t you want to resample? Creating 5-min bar is as good as resampling the 1-min bar. Any external data provider would also be doing the same anyways.
Hi there, could you please give me a short guidance how to ingest custom 1m data please?
I did this
import pandas as pd
from zipline.data.bundles import register
from zipline.data.bundles.csvdir import csvdir_equities
start_session = pd.Timestamp(‘2020-12-07 09:30:00’, tz=‘utc’)
end_session = pd.Timestamp(‘2020-12-15 14:05:10’, tz=‘utc’)
‘custom-minute-bundle’, # What to call the new bundle
[‘minute’], # Are these daily or minute bars
calendar_name=‘NYSE’, # US equities default
bu then got an error ValueError: Start session 2020-12-07 09:30:00+00:00 is invalid!
it would be great if you can share your extension file and one csv file for 1m ingestion. Cheers