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I hope I'm asking this in the right place. Couldn't find any definitive info anywhere.

When creating a candle / time series / bucket, is the open of the series the first price in that series and not the close of the previous series?

If so, what is the OHLC of a series if there are no trades in that series? Are they all set to the close of the previous series? Can anyone provide a link to some documentation on this?

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    $\begingroup$ In the data software that I use (Tickwrite 7.1) there is a user option for this, called 'Empty Intervals'. It can be set to one of three choices: Skip, Fill with Zeroes or Hold Last Value. So the choice is up to the user. I usually select Skip,which means that no OHLC bar with that date and time will be generated when there are no trades in that interval. The documentation for Tickwrite is online. $\endgroup$ – noob2 Jun 26 '18 at 9:45
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So this is a problem if you are sampling based on a fixed time interval. I would suggest you sample using a volume clock.

Back to your question: I think the most typical thing to do is to apply a forward fill to your data. So you use the previous close for the open, high, low, and close for the new bar.

Sometimes it is appropriate to drop empty rows. You could of course apply imputation to fill the missing values but this technique may have its own problems.

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I would agree that the open of a series is the first price in that series and not the close price of the previous series because very often in real world trading we come across stocks that open at a gap-up or a gap-down, a significant shift from the previous close price.

Now if there are no trades the line will be a flat line with the open, high, low and the close equal to the previous close price.

If i were using Tickwrite I would choose to Hold Last Value because losing data may prove to be costly is other forms of analysis. Good Luck.

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If there's no trade:

O = H = L = C = Previous close

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