How to "listen" for 15 minute bar updates?

Alpaca Market Data
1

Hi, I am wondering how one might convert minute updates into 15 minute bars. I want to run my logic over the 15 minute time scale but obvs only minute/day are available. I am relatively new to this as you may tell, so go easy on me!

Thanks in advance

2

Hi,
you could use the websocket subscription with AM (aggregated minutes), and then test if 15 minutes past since your last operation.
then you could take the 15 1 minute bars and resample them to 1, 15 minute bar.
if you save them in a dataframe you could do it like this:

df.resample('15T').agg(dict(
                    open='first',
                    high='max',
                    low='min',
                    close='last',
                    volume='sum',
                ))

if you save them as bars, just do the operations described manually

3

Hello,

thanks for your reply!
I am a bit confused however; The 15 minute bars I create using this method will not be consistent with the 15 minute bars found on the exchanges/trading view unless I start the 15 minute period at the same time they do. Can you help me understand this please

thanks

e

4

as you said, you need to use the same time window, starting at the same time.

5

do you happen to know at what time the 15 minute bars are generated across exchanges?
Thanks again Shlomik

6

just use this endpoint https://alpaca.markets/docs/api-documentation/api-v2/market-data/bars/
get 15 minute bars (historic) and build your streamer accordingly

7

Pretty sure it’s just every quarter hour. So 10:00, 10:15, 10:30, 10:45, etc

8

Could you do this with 15Min bars… and make them 30min bars? I have to check out the resample. I’m not familar.

9

The link no longer works and the V2 API doesn’t return 15Min bars??