Quote from: c0inbuster on May 14, 2013, 05:23:48 AM

if we feed zipline with tick data,
handle data (which is called several times)
will have to resample data several times...
that's why I don't know if it's a good idea....

Is that a poem ?

You are supposed to collect data in real time, which is very different from doing analysis in real time. There is very little value in doing the analysis in real time, actually.

So suppose right now you have all data ever produced by some exchange, and some new data come in. You aggregate it to your existing data, and, for example, each 5 minutes you update your analysis on this data. Note that there is also little value in using the entire history for doing something like EMAs, per definition of EMA. You still need to resample data, but only each 5 minutes. And resampling is done very efficiently by pandas.