About OHLC candle data

Discussion in 'Data Sets and Feeds' started by savagemp5, Sep 16, 2011.

  1. Hi,

    I am currently downloading Stock quotes thru Finance Google and "reconstructing" my own OHLC data, in the form of maybe 30s or 1 min candlesticks.

    The problem is I don't see any difference in getting Open price vs Close price. From my understanding and looking at the candle sticks, for 2 or even 5 mins sticks, the sticks will likely close and open and near the same price (somethings they open n close higher or lower in split secs?), so the close is somewhat similar to the open.

    If Im not wrong the OHLC serves its purpose for daily charts, rather than min by min or 15s by 15s ticks.

    Just to ask around, I am doing x secs sticks, where I'll refresh, grab data as Close price, refresh, grab data as Open price. Then I'll start my wait delay for X number of secs depending on what ticks I wanna do.

    Is this done correctly and am I correct to get a very similar open and close prices ?
  2. januson


    OHLC serves an aggregation over ticks, doesn't matter what timeframe or aggregation type i.e. tick, range, volume or time.

    The open and close can easily be the same and does not mean anything is wrong. However... try to compare with an already existing chart.

    You are wrong in the grapping... your first grap is open price, then there is the middle and last.. the close :)
  3. redwee


    I agree with januson.Please check your grap.
  4. Depends on what market/symbol/time during trading session (such as offhours or lunch period) that it is not uncommon to see open and close to be the same or very nearly - especially when plotting micro bars 5 min, 1 min and below.

    My first thought was why and why use Google or Yahoo or other web portals. I guess because the price (free) is right but garbage in gets you garbage out.

    BTW what's a grap?
  5. modi_66


    Thanks for your post
  6. Doesn't really matter as i was testing the strategy. Never mind if its slow or something, but its real time btw.
  7. I was thinking in terms of accuracy, not timelyness.

    Ya know that is kind of important when testing a strat.
  8. Hmm how accurate can you or want to be ? If im not wrong Google Finance, is currently buying data from NYSEARCA, and some of NYSE, some AMEX.

    They all trade at difference prices due to diff exch, but likely not much difference with the help of HFT :p so unless you can show me 2 different charts of the same day..., I'll jump on it for arbs.
  9. Lets back up a minute. For instance what symbols are you talking about?

    Because even on 1 minute basis most stocks, which have any kind of volume, very infrequently have the same open/close.
  10. Also you haven't specified how your strat will be coded (your prerogative) so how can someone else determine if the "true" open/close matters - to you.
    #10     Nov 21, 2011