I am currently using thinkorswim for pairs trading. To calculate their numbers for each interval, it appears that they take the High of the first stock minus the low of the second stock to get the high of the pair, and the low of the first stock minus the high of second stock to get the low for the pair. This results in a wildly inaccurate calculation for the high and low of the pair bar. For example, I did the following calculation on the one minute. Stock 1 H 59.74 L 59.48 Stock 2: H 57.82 L 57.60 Pair H 2:14 (59.74-57.60) L 1.66 (59.48 â 57.60) The difference is for the pair H â L = .48 cents. The actual movement during that minute was only 6 cents. Furthermore, if they had calculated by taking the high minus high and low minus low, that would have given a more accurate estimate of .04 cents. The upshot is that the High Low info of the candle is useless and you can only trade on the candle bodies. So my question is this â does anyone know a data provider that calculates the data for pairs correctly at least down to the minute level?