Minutes per Price Chart

To compliment yesterday's post, here's a chart displaying the minutes spent at each price level.

(Note: This is for AAPL between 7/17/2012 and 9/21/2012)

Using SQL to Generate Volume by Price

Sometimes you may want to know at which dollar level the most trades have taken place in your favorite stock. Here's an easy way to do this in MySQL using a simple SQL query:

SELECT ROUND(close,0), SUM(volume) FROM stocks.stock_prices_minute
WHERE SYMBOL = 'AAPL'
AND DATE(date) = '2012-09-21'
GROUP BY ROUND(close, 0)

Above, 'close' is the name of the column with 1-minute (or whatever you have) close prices, 'volume' is the name of the column with volume data, stocks is the database, and stock_prices_minute is the table.

Here's a graph of a similar query (I removed the date requirement in order to get all data within the period I had available).

AAPL by the Hour

I've been collecting intraday minute data for over a month. Here's a quick set of graphs showing the gain/loss for every hour throughout the day (the first half hour considered an hour by itself). The images are named in PST.

I doubt much can be gleaned from this alone. On average the 7am hour has been the best play for a long, the 9am hour (lunch? in NY) is the best hour to sit, and the last hour is the best to go short. The largest standard deviation in values is in the 7am hour, followed by the 6am half hour.