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I have S&P500 Index tick daily data on one minute intervals for the last 12 years. The file is an CSV file.
I'd like to extract the following fields :
Date, Opening price, Price 1 hour after the open, price 1.5 hours after the open, price 2 hours after the open, Closing Price.
Here is a sample of 4 of the minutes from 2007, time 5pm, 5:01pm, 5:02 pm, 5:03pm. I just need the next field with the index level.
| 01/04/2007;17:00:00;1431.75;1432;1431.25;1431.75;393 | ||||
| 01/04/2007;17:01:00;1431.75;1431.75;1431.25;1431.5;461 | ||||
| 01/04/2007;17:02:00;1431.5;1431.5;1431.5;1431.5;64 | ||||
| 01/04/2007;17:03:00;1431.25;1431.5;1431.25;1431.25;145 |
I'm not sure if the Time Stamp is local time (Chicago or New York) so that will need to be cross-referenced. Also not sure if daylight-saving time is incorporated into the time stamp.
Thanks !
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