Aggregating quotes data for different time frames

Question

I need to aggregate data for a higher time frame. I have data for 1 min time frame as follows

Time   Min Max
15:00  9   31
15:01  7   19
15:02  7   19
15:03  8   17
15:04  8   22
15:05  4   25

and need producing data for 5 min frame. My approach is to take 5 previous records inclusively starting from 15:05 and calculate min/max withing that bucket, is that how they do it?

My Result for 5 min frame:

Time   Min Max
15:05  4    25

Can anyone confirm if this is the correct way of aggregating data?

Answer 1

The actual term for this is downsampling. If you are trying to take 1-minute bar data and create 5-min bar data there are a few rules you should follow.

1. The bar name is where it starts, not where it ends. The bar in your example should be called the 15:00 bar, not the 15:05 bar.
2. It should not include the 15:05 1-minute bar. The bar should start at 15:00 and end at 15:04 (the 15:04 1-minute bar ends at 15:04:59).

The min and max in your example are 4 and 25. Your 15:00 bar should have a min and max of 7 and 31, respectively. Your 15:05 bar would currently have a min and max of 4 and 25, respectively, however, you need to add in the remaining 4 minutes to create that bar (bars 15:06 - 15:09).