Resample High Frequency Data

Introduction

These codes resample high frequency financial data using a large variety of published approaches.

Supported Data

Trades and Quotes Forex

Approaches

Currently, these techniques are implemented:

• Calendar Time Sampling (CTS)
• Transaction Time Sampling (TrTS)
• Tick Time Sampling (TTS)
• Duration Adjustment Sampling (DA)
• Time Transformation Sampling (TT)
• Business Time Sampling (BTS)
• A smoothed Business Time Sampling variant (sBTS)
• Weighted Standard Deviation Sampling (WSD)

The names in brackets refer to the variables in the process_data.py file. For references to these approaches see the comments within the code.

Usage

See my repo on realized quantities