Thursday, 25 March 2021

Generate mock forex or stock OHLC data to use in reproducible examples for pandas questions

Edit: I have answered this question below as it may be useful for others. If anyone can refine/minimise the code please provide another answer.

Summary

How do I create an OHLC dataframe using Numpy/Pandas

  • which has an ATR or trading range of somewhere around .0075 to .02 or range could be specified as a variable. Looking to see random price moves roughly within these boundaries.
  • with a Close value on first row at 1.1904 (see example below).
  • and can use a seed value (i.e. np.random.seed) so the dataframe is reproducible.

Overview

I'm trying to generate mock forex/stock data to create reproducible examples for pandas questions using Numpy/Pandas. This question covers similar data requirements but a Forex data example using Open, High, Low ,Close Data could be useful for many SO users and help avoid pasting large amounts of data into a question.

As an example of how the dataframe should look I see the euro/dollar rate on Friday was as follows:

eur = {"open" : 1.19160,
"high" : 1.19371,
"low" : 1.18739,
"close" : 1.1904}

pd.DataFrame(eur,index=['19/3/2021'])

eurusd



from Generate mock forex or stock OHLC data to use in reproducible examples for pandas questions

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