fetch 5m OHLCV

# -*- coding: utf-8 -*-

import os
import sys
from pprint import pprint


import ccxt  # noqa: E402


bitmex = ccxt.bitmex()

# fetch 5m OHLCV

symbol = 'BTC/USD'

ohlcv5 = bitmex.fetch_ohlcv(symbol, '5m')
ohlcv15 = []

# OHLCV key indexes

timestamp = 0
open = 1
high = 2
low = 3
close = 4
volume = 5

# convert 5m → 15m

if len(ohlcv5) > 2:
   for i in range(0, len(ohlcv5) - 2, 3):
       highs = [ohlcv5[i + j][high] for j in range(0, 3) if ohlcv5[i + j][high]]
       lows = [ohlcv5[i + j][low] for j in range(0, 3) if ohlcv5[i + j][low]]
       volumes = [ohlcv5[i + j][volume] for j in range(0, 3) if ohlcv5[i + j][volume]]
       candle = [
           ohlcv5[i + 0][timestamp],
           ohlcv5[i + 0][open],
           max(highs) if len(highs) else None,
           min(lows) if len(lows) else None,
           ohlcv5[i + 2][close],
           sum(volumes) if len(volumes) else None,
       ]
       ohlcv15.append(candle)
else:
   raise Exception('Too few 5m candles')

# do whatever you want with your 15m candles here...

pprint(ohlcv15)