Hot answers tagged tick
You said:"I understand that the generated ticks will be generated using interpolation (so they won't be exacts)". You are very optimistic, they will not only be far away from being exact, they (the tick data) will be completely removed from reality, the only parameters known for the tick data will be boundary conditions, such as open high low close. You ...
Supply and demand... If you want an event that produce a change in the value of a currency, just look at the ruble. As Russia, gets more and more isolated and inflation spins out of control the ruble lose its value against other currencies.
That exchange spec implies that there isn't a legal price of 1001, 1002, ..., 1009. The next available price after 1000 is just 1010. If your pricing engine determines a fair value of, say, 1005, then your application will need to apply some rounding logic. For example, you can always round away from the inside price, or you can simply round to the nearest ...
We've done this before (*), but it is trivial: one tick for open, one tick for high, one tick for low, one tick for close. For tick timestamps, open is 08:01:00, close is 08:01:59.999, high is 08:01:20 and low is 08:01:40. (Or if that gives strange results, open is 08:01:00.001 and close is 08:02:00.000; it depends how your system makes bars.) If you want ...
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