Aggregate raw ticks into OHLC bars

Question

You have timestamped trade prints in time order and want to resample them into fixed-width OHLC bars: for each interval, record the first price (open), the maximum (high), the minimum (low), and the last price (close).

ticks = [(0,10), (1,12), (2,9), (5,11), (6,14)], interval = 5
-> [(0, 10, 12, 9, 9),      # bucket [0,5): prices 10,12,9
    (5, 11, 14, 11, 14)]    # bucket [5,10): prices 11,14

Return one (bucket_start, open, high, low, close) tuple per non-empty interval.

Accepted Answer

Map each tick's timestamp to its bucket start with integer division: bucket = (ts // interval) interval. The first tick in a bucket sets all four fields. Later ticks in the same bucket update the high (max), the low (min), and the close (always the latest). Track first-seen order so the output stays chronological. Tracing the example: the first bucket [0,5) opens at 10, peaks at 12, bottoms and closes at 9; the second [5,10) opens at 11 and closes at its high of 14. Time O(n), space O(number of buckets). Edge cases: empty input yields no bars; buckets with no ticks are simply absent (fill the…

Aggregate raw ticks into OHLC bars

Your answer

More Coding questions