A constant range bar chart is like a candle chart, only the candles don't close after a certain amount of time (i.e. 30 min, 4 hours), but after a certain range (i.e. 5 ticks) has been crossed. So if you don't have a lot of up or down movement during a long period of time, no new candles are created. A bit like Kase bars or momentum bars:

Ticks on the left, Constant Range Bars on the right

If you have tick data, and you want to create a constant range bar chart from that, which criterion/method/formula will result in the range bar chart that is the most trending/persistent/smooth? By persistent I mean that up bars are generally followed by another up bar and down bars are generally followed by another down bar. It's probably related to some measure of volatility and some local price "structure" measurement.. Or comparing the range over 1 window to the range over a window of different length or something.. Thanks for your suggestion.

Ideally it should work in real time.

  • $\begingroup$ Wouldn't that imply that the bar directions are strongly correlated for some range? $\endgroup$ – Bob Jansen Aug 4 '14 at 20:17
  • $\begingroup$ Why you call it "constant range bar", isn't it "constant volume bar"? $\endgroup$ – Alexander Didenko Aug 5 '14 at 4:47
  • $\begingroup$ @ Alexander: Because there is a difference. A constant volume bar closes after a certain number of contracts have been traded (i.e. 1000), a constant range bar closes after price has covered a certain range (i.e. 10 pips in forex), regardless of volume. $\endgroup$ – MisterH Aug 5 '14 at 6:40

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