links for 2007-​​07-​​22

links for 2007-​​07-​​19

What I want today: financial tick aggregation

Any­body who’s done any trad­ing or invest­ing is famil­iar with the stan­dard finan­cial HLOC time-​​series chart. Even Excel has ‘em. You take an under­ly­ing time-​​series of price data (some­times record­ing in sub-​​second time-​​frames) and you just bin those raw num­bers. The “1-​​minute” HLOC stock chart, for exam­ple, shows you the high, low, open and close prices aggre­gated over every dis­crete 1-​​minute period. The “30-​​minute” HLOC chart divides the same under­ly­ing data into 30-​​minute blocks. Same data, dif­fer­ent views. These are daily work­horses for any­body who deals with equity prices.

What I want is the same func­tion­al­ity for my portfolio’s total value. Mul­ti­ply each price tick by my hold­ing of that secu­rity, com­bine them into a sin­gle time-​​series, and add them up over time.

You’d think that would be obvi­ous. Not so! I can’t find a sin­gle online vendor—Google Finance included—who can do the sim­ple arith­metic. Actu­ally, they do the arith­metic, because there’s always a line-​​item on the val­ues table show­ing total port­fo­lio value. But they never chart it.

How hard is it to make that men­tal leap, peo­ple? Graph it. Show, don’t tell.