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).

  • 1
    $\begingroup$ This is a very reasonable question for Bloomberg Help Desk. Their data experts are excellent in my experience, and can answer this type of question in detail. (I would not advise making any corrections to the data until you know why it looks this way). $\endgroup$ – noob2 Jun 26 '18 at 14:16
  • $\begingroup$ I completely agree with your suspicion that high/low is based on trades and open/close based on algorithmic assessment, but only bloomberg knows... $\endgroup$ – Attack68 Jun 26 '18 at 17:09

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