Getting Started

Data aggregation is a fundamental step in transforming raw tick data into structured insights. The Quantreo library provides tools to create alternative bars (like tick, volume, or imbalance bars) and compute intra-candle metrics.

These tools help bridge the gap between raw microstructure data and usable features for backtesting or modeling.

To better understand how to use each function, you’ll find detailed explanations and Jupyter Notebook examples in the tutorials folder.

📦 Installation & Import

Make sure the Quantreo library is installed before running any code. You can install it with:

pip install quantreo

Then import the data aggregation tools with:

import quantreo.data_aggregation as da

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Bar Building Input Format

To build bars (time bars, tick bars, volume bars, etc.), Quantreo expects tick-level data, that is, individual trades with at least a price and a volume.

This raw format allows you to recreate flexible and informative bars that preserve market microstructure.

🔗 Minimal requirements

Only two columns are required: one for the price and one for the volume.
The index must be a DatetimeIndex, as bar-building relies on time-based ordering.

Let’s create a minimal example to demonstrate the expected format:

import pandas as pd

# Sample tick data
data = {
    "price": [100.0, 100.1, 100.2, 100.15, 100.05],
    "volume": [3, 1, 2, 1, 5]
}
index = pd.date_range("2023-01-01 09:30:00", periods=5, freq="S")
df = pd.DataFrame(data, index=index)

print(df)

Datetime	Price	Volume
2023-01-01 09:30:00	100.00	3
2023-01-01 09:30:01	100.10	1
2023-01-01 09:30:02	100.20	2
2023-01-01 09:30:03	100.15	1
2023-01-01 09:30:04	100.05	5

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Bar Building Functions

Category	Function Name	Quick Explanation
Time-based	ticks_to_time_bars	Aggregates ticks into bars based on fixed time intervals (e.g., 1 min, 4H).
Tick-based	ticks_to_tick_bars	Creates bars with a fixed number of ticks per bar (e.g., 1000 ticks per bar).
Volume-based	ticks_to_volume_bars	Forms bars when a target cumulative volume threshold is reached.
Imbalance-based	ticks_to_tick_imbalance_bars	Creates a bar when the signed tick imbalance exceeds a defined threshold.
Imbalance-based	ticks_to_volume_imbalance_bars	Creates a bar when the signed volume imbalance exceeds a defined threshold.