This seems like a very basic question, but the Internet does not seem to know, so:
If you have a stream of bid, ask, and last trade prices, how do you convert those into periodic open/high/low/close bars? Is there a standard definition?
The main question is whether the summaries incorporate the bid and ask or just last trade prices. The other question is whether the previous close is equal to the next open (talking intraday bars here, excluding the session open and close).
My guess is that bars just use last trade prices and the previous close generally equals the next open, but that seems to drop a lot of information, especially for intraday bars.