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The data is in the following format:

{

Time= 650

Volume=700

Last=89.22

High=89.56

Low=89.20

Open=89.25

}

I understand that the time value represents the current minute of the day, market open being 570 and close 960

I also assume that volume means that in the 650th minute of market trading 700 shares of this stock were traded

But I am confused about what high/low and open/last mean?

from my understanding last is the last price the stock was traded at during the previous minute of market activity, open is the price its traded at the very beginning of the current minute and high and low are the highest and lowest prices the stock was traded at any moment within that minute.

The above explanation is the most logical reasoning I can think of for this type of data.

Can anybody who has experience working with intraday ticker data please confirm or correct my reasoning.

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    $\begingroup$ Yes, you are correct on every value; Open is the first trade value, Last is, well, the last trade value, and High/Low are the highest/lowest traded values during that time frame $\endgroup$
    – David C
    Aug 2, 2016 at 22:57
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    $\begingroup$ You are also right about the time: 570 minutes => 9.5 hours i.e. the market opens at 9:30am. 960 minutes => 16 hours, the market closes at 4pm i.e 16:00 hours. These are the regular trading hours for stocks in the US. The first data record, labeled 960 therefor refers to the trades between 9:30:00 and 9:31:00, the first trade is the open, the last in this interval is the "last". $\endgroup$
    – nbbo2
    Aug 2, 2016 at 23:16
  • $\begingroup$ @noob2 thank you for the feedback $\endgroup$
    – Mustard Tiger
    Aug 3, 2016 at 0:43
  • $\begingroup$ You need to have one caution. Large trades happen "off the tape," and are inserted at a later time. Imagine you had an order for 10,000 shares that were made up of 100 orders of 100 shares each that were picked out of the trading orders over a period of time. None of those 100 orders would ever make it separately onto the minute by minute trading data. Instead, sometime after the trade closes all 10,000 shares, preferably at a point that it will not disturb trading, is inserted into the tape at the weighted average price. If the daily high were in that trade, that trade wouldn't be seen. $\endgroup$
    – Dave Harris
    Dec 29, 2016 at 23:27

1 Answer 1

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But I am confused about what high/low and open/last mean?

  • The high (low) is the highest (lowest) trade price that occurred within the minute.

  • The open price is the price of the first trade that occurred within the minute.

  • The close price, also known as the last price, is the price of the last trade that occurred within the minute.

The concept of open-high-low-close is also mutually motivated by the use of candlestick charts, thus giving rise to the term "OHLC chart".

There's probably two other things that you may not realize yet until you start looking at such time series in an illiquid product or try to implement it in code:

  • By definition, the time doesn't have to print if no trade took place within the minute.
  • By construction, we use only trades in the half-open interval $[t, t+1)$, since the intervals must be disjoint.
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