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cesarsr@gmail.com's avatar

Hello Quantbeckman,

First of all, I want to thank you for all your work. Your effort is truly impressive, and I really appreciate the help you provide in our Quant journey.

Regarding data, I have several questions:

First, how would you obtain different timeframes for an asset? I mean, for example, if you need 15-minute, 1-hour, 4-hour, and daily (D1) timeframes for an asset.

Would you download them directly from your data provider, or would you perform a resampling from the lowest timeframe?

I have seen solutions using TimeScaleDB that perform resampling automatically and without latency. What do you think about this? Could lower timeframe data have more errors, and would resampling amplify those errors?

Second, how do you handle different time zones in your data? For example, imagine you have a strategy that buys 1 lot of EURUSD in your broker (GMT+1) if TLT bonds (CT) have risen and Non-Farm Payrolls (NFP) (UTC) have fallen.

Would it be advisable to create a new field with all data normalized to UTC while preserving the original time zone?

Best regards, and thank you very much, Quantbeckman.

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