If you have ever wanted to take your existing Open High Low Close historical trading data and convert it into larger time frame, the following Excel VBA based data converter I wrote may do the trick.
DataConverter.xls allows you to configure the Number of OHLC bars that should be condensed down into a single bar. You also can list the file name, sheet, and columns where your data is located. The data will almost instantly be transformed into the higher time frame you have requested.
- Download DataConverter.xls (*last updated 1/1/2011)
- Open DataConverter.xls. (Quickstart!: Skip the directions below. Just Open file and press "Convert" to see how it works with default settings.
- If you have OHLC Data in a workbook, open that file (you can also just use the default sample data that is contained on the sample data sheet in DataConverter.xls)
- Enter the Column letter for each type of data (Time/date, Open, High, Low, Close, Volume)
- Enter the Name of the WorkBook and worksheet that contain the data. For example, to convert 1 Minute bars to 4 minute bars, simply enter 4. To convert 3 minute bars to 15 minute bars enter 5 (5*3=15) etc etc.
- Finally press the "Convert" Button. The converted data will appear in a new workbook. Save as desired.