New answers tagged analysis
It really depends on what you're trying to do, a solution as simple as agging the data to x-sec OHLC bars may suffice and from the sounds of things that's what you need. Now if you need to work with order book dynamics then tick data is fairly crucial, then what I'd do for analysis is reconstruct the orderbook from the ticks then just take snapshots of the ...
To help you understand why you need to follow recipes (like chrisaycock's) just have a look at your tick data. You will find ticks clustered at some points in time while they seem scarce at others. If you proceed with your recipe 2, you will lose those clusters of activity and stretch them out. In periods of low activity you will condense the market. ...
If you just want to run some simplistic technical analysis on quotes, then select the last quote for each unique timestamp. That will ensure that you don't have duplicate timestamps. If you must have it evenly spaced (i.e. no gaps from one second to another), then you can reuse the previous quote to fill-in the missing value.
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