The objective of this project is to write a collection of Python functions which will sample intraday data and prepare it for modeling an analysis.
- Given a trade file prepare the format of the file for use with all of your other functions.
- Given a dataframe extract all ticks for a given symbol.
- Given a dataframe delete any types of trades the users deems unnecessary. You should be able to pass the function an option to delete a specific trade type. So for example maybe you pass a Z to the function to delete all out of sequence trades.
- Given a dataframe reindex the dataframe using the time stamps.
- Given a dataframe consisting of data from one symbol sample minute bars. The user should be able to specify the size of the bars as an option.
- Given a dataframe consisting of data from one symbol sample tick bars. The user should be able to specify the size of the bars as an option.
- Given a dataframe consisting of data from one symbol sample volume bars. The user should be able to specify the size of the bars as an option.
- Given a dataframe consisting of data from one symbol sample dollar bars. The user should be able to specify the size of the bars as an option.