I have ticks data in format: Date, Time, Open, High, Low, Close, Volume. 11/09/2014,17:00:00,2019.00,2019.00,2019.00,2019.00,5 11/09/2014,17:00:00,2020.00,2020.00,2020.00,2020.00,25 11/09/2014,17:00:00,2028.00,2028.00,2028.00,2028.00,20 11/09/2014,17:00:00,2030.00,2030.00,2030.00,2030.00,10 11/09/2014,17:00:00,2035.00,2035.00,2035.00,2035.00,30 11/09/2014,17:00:00,2037.00,2037.00,2037.00,2037.00,15 11/09/2014,17:00:00,2038.00,2038.00,2038.00,2038.00,10 11/09/2014,17:00:00,2040.00,2040.00,2040.00,2040.00,40
I am trying to construct range bars from this data with range 2.00. It is clear for me how to built that if difference between high and low reaches strictly 2.00. But there are some cases when that difference becomes more than 2.00. So how many bars will be present in this case? What open, high, low, close, volume values will these bars have? I would very appreciate if somebody give me an explanation and convert data I provided to Open, High, Low, Close, Volume format.