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achilles28

Registered: Apr 2005
Posts: 7534

10-31-12 05:19 PM

Quote from fareastcoast:

I think you are missing the point. As an example, here is the QuantQuote TickView data from Facebook today:
27778111, 215700, 216400, 216400, 121716,Y, 1100, 1000, 100, 3000, 27778110,Q,@,27778148
27834713, 215700, 216400, 215700, 121816,Y, 1100, 1000, 100, 3000, 27834715,P,T,27834748

The fourth to last column is the trade time given in milliseconds since midnight.
They are:
27778110
27834715

Let's assume you were building second resolution bars.
For the 27778th second, the close is 21.64 since that is the last trade in that second.
The next trade happens at second 27834
The open for that second is 21.57

So no, close and open are not supposed to match up.

No, those are tick bars. I am discussing time bars. Big difference. Anyway, I guess everyone is accustomed to tick bars here.

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Slave2Market

Registered: Dec 2001
Posts: 204

10-31-12 06:45 PM

Quote from achilles28:

In my experience, most futures data providers don't match bar opens and closes. Either I'm missing something, or even "tick" data providers, like Barchart and TT, are out to lunch.

In my humble experience, with time bars, when one closes, immediately, the next opens. Mismatched O/C's between adjacent bars tells me that the data feed is not true tick, large gaps exist in the data, or it's a charting issue. I see this all the time with other traders too, that post snapshots of their charts. This is a dangerous way to trade, imo = crap data.

What's the best way to solve this?

Time based bars provide a summary of the trades that occur within that bar time period.

The close of the current bar shall match the open of the next bar only when the first trade in the next bar time period occurs at the same price as the close of the prior bar.

To help put things in perspective ask yourself whether the open price of tomorrow should equal the close price of today ... there is no difference except that the bar time period is Daily versus Hour, Minute or Second.

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achilles28

Registered: Apr 2005
Posts: 7534

10-31-12 06:53 PM

^Those are tick bars....Not time bars....

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Slave2Market

Registered: Dec 2001
Posts: 204

10-31-12 06:58 PM

Quote from achilles28:

^Those are tick bars....Not time bars....

I have no idea what kind of charting software you are using but the following is true for any software I have ever used or designed myself.

Time based bars provide a summary of the trades that occur within that bar time period.

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achilles28

Registered: Apr 2005
Posts: 7534

10-31-12 07:05 PM

Quote from Slave2Market:

I have no idea what kind of charting software you are using but the following is true for any software I have ever used or designed myself.

Time based bars provide a summary of the trades that occur within that bar time period.

No, time bars open and close at the exact same time, every time.

Yes, they summarize the trades that occurred in that period, but the open value of the next time bar in sequence is not dependent on the trade value of the first trade occurring in the new bar. No. Those are tick bars. Time bars open and close at the same TIME. They are time dependent. Not trade value dependent. Anyway.

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