This may be clear to a practitioner, but consider the following rows of OHLC points:
55.20 56.50 55.35 55.45 (low > open)
53.30 53.30 53.20 53.325 (close > high)
These are taken from the leanhogs contract on CME (LHZ08, 2008-11-12 and LHZ05, 2004-11-08).
One would expect high/low prices to represent extremes and bound open/close prices - but this does not seem to be the case at least for fairly illiquid contracts.
- What is the reason for these inconsistencies?
- Is it reasonable to "clean" these data points, for example replacing "low" by the open/close?
My current guess is that High/Low are strictly set based on actual trades, whereas the open/close price can be set by algorithms considering additional information (such as bid/ask spreads, average prices and prices of related contracts at different expiries).