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.
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.
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.