Data Feeds that Match Bar Opens and Closes?

Discussion in 'Data Sets and Feeds' started by achilles28, Oct 31, 2012.

  1. 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.
     
    #11     Oct 31, 2012
  2. I noticed those discrepancies years ago... I don't pay any attention to them.
     
    #12     Oct 31, 2012
  3. achilles28

    achilles28

    No, those are tick bars. I am discussing time bars. Big difference. Anyway, I guess everyone is accustomed to tick bars here.
     
    #13     Oct 31, 2012
  4. 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.
     
    #14     Oct 31, 2012
  5. achilles28

    achilles28

    ^Those are tick bars....Not time bars....
     
    #15     Oct 31, 2012
  6. 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.
     
    #16     Oct 31, 2012
  7. achilles28

    achilles28

    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.
     
    #17     Oct 31, 2012