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) 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?