Overview\r\nCurrently working on an excel sheet that contains 106,025 rows of intraday Cocoa futures prices, and need the Open|High|Low|Close for the following time blocks of each trading day. \r\n\r\n345-359\r\n400-459\r\n500-559\r\n600-659\r\n700-759\r\n800-859\r\n900-959\r\n1000-1059\r\n1100-1159\r\n1200-1229\r\n\r\nThe range of dates is 11/03/14 - 10/30/15. \r\n\r\nI have uploaded an excel workbook with two tabs: Intraday Prices & 1hr - Candlestick Info\r\n - The futures prices can be found on the \"Intraday Prices\" tab of the uploaded excel workbook. This is where you can locate the Open|High|Low|Close information. \r\n - The 1hr - Candlestick Info tab, is where I\'d like the Open|High|Low|Close data to be placed. I have already setup columns for each of the time blocks, and have input all the dates. \r\n\r\n **Specifications**\r\n\r\n1.) Definition of Open|High|Low|Close: \r\n\r\nOpen\r\nPrice under the open column for the first minute of trading of that time block.\r\n\r\nHigh\r\nHighest or maximum price under the High column for that time block. \r\n\r\nLow\r\nLowest or minimum price under the Low column for that time block. \r\n\r\nClose\r\nPrice under the Close column for the last minute of trading of that time block.\r\n\r\n2.) Time Blocks\r\n\r\nThere are a total of 10 time blocks, which are outlined above. \r\n\r\nEach of these blocks may not contain every minute for that period. For example, the time block 345-359, of any given day, may only have price data for the following minutes 347,351,354,355, 357. Per the definition of Open|High|Low|Close, the first minute of this period is 347, and the last minute is 357. As long as the range of minutes fall within the specified time period, the Open|High|Low|Close data will be accurate. \r\n\r\nThis scenario applies to every time block listed. \r\n\r\nThere should NEVER be data of one time period merged with another. Meaning the Open|High|Low|Close data for 345-359, should never contain price information from any other time block. \r\n\r\n3.) Dates\r\n\r\nThe date range is 11/03/14 - 10/30/15. \r\n\r\nThe trading session for certain dates begins at 445, instead of 345. For those dates, pulling the Open|High|Low|Close data for the 345-359 period is unnecessary and can be skipped. And any price data between 445-459 can be placed in the 400-459 time block.\r\n\r\nOne other item to be mindful of, is that the dates on the Intraday Prices tab are listed in an ascending order, while the dates on the 1hr - Candlestick Info tab are listed in descending order.
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