The tick data shortly before the close in yesterday have different statistics and charasterices compared to the tick data shortly after the open in today. Then, how I calculate the indicators using the data in these two periods? For example, my some simple indicators use mean value of data in previous 100 ticks, so I have to combine with tick data in yesterday make up 100 ticks to calculate such indicators for the ticks after the open in today.

I find the https://www.elitetrader.com/et/threads/adjusting-intraday-indicators-for-overnight-gaps.229364/ and https://www.elitetrader.com/et/threads/overnight-gaps-in-intraday-indicators.73315/ have also discussed such issues, and one idea therein is:

"The most straightforward way is to maintain a running summation of overnight gaps (Open - Close[1]) and apply it to all four price values of every bar. You may want to collect some statistics intraday to determine if you should adjust the overnight gap to more closely mimick intraday close/open gaps. "

but I am not sure if it works. Maybe we can also use interpolation to artificially construct some tick data to connect the yesterday close and today open, the how to do?

  • $\begingroup$ What technical indicator do you want to calculate? Why are you using data shortly before the close and shortly after the opening? $\endgroup$
    – teoeme139
    Mar 20 '20 at 15:30
  • $\begingroup$ @teoeme139 just some typical indicators. Because I believe data before the prior close can have some impacts on today's opening, but these two time periods can have some difference because of a night gap. so some tricks must be used. Then how? $\endgroup$
    – olivia
    Mar 27 '20 at 3:53
  • $\begingroup$ Indeed, indicators have their own formula. Sometimes the close to open gap have a meaning for a particular indicator. Indicators have a known formula. You can deduce how and if they deal with this by looking at them. $\endgroup$
    – teoeme139
    Mar 27 '20 at 12:31
  • $\begingroup$ @teoeme139 Hi I have updated the post. $\endgroup$
    – olivia
    Apr 28 '20 at 9:40

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.