Questions tagged [ohlc]

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OHLC prices after filtering

Assume we have minute-bars of OHLC stock prices. Then, applying Kalman filter to those prices separately, we can remove a measurement noise and obtain the estimates of the states of the price ...
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1answer
406 views

When converting Tick to OHLC, which field do I use for Open and Close: bid or ask?

I can't find a definitive answer for this: When generating (compressed) OHLC records from tick data, which field do I use for the Open and Close? Highest Ask for timeframe High makes sense; Lowest ...
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153 views

OHLC inconsistencies in bloomberg

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 ...
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1answer
788 views

Close and Adjusted Close in Interactive Brokers API and Yahoo Finance

On Interactive Broker's TWS API manual, there are several historical data types to choose from. Which IB TWS data type's Close value corresponds to Close Adjusted ...
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1answer
307 views

Pearson correlation coefficient based on OHLC data

Pearson correlation coefficient based on OHLC data I've found only this article "Estimating correlation from high, low, opening and closing prices" by L. C. G. Rogers and Fanyin Zhou (2007) http://...
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1answer
503 views

Ticks aggregation into range bar chart

I have ticks data in format: Date, Time, Open, High, Low, Close, Volume. 11/09/2014,17:00:00,2019.00,2019.00,2019.00,2019.00,5 11/09/2014,17:00:00,2020.00,2020.00,2020.00,2020.00,25 11/09/2014,17:00:...
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2answers
125 views

Model which fully incorporate OHLC data (higl ald low also)

OHLC data are one of the most popular kind of data available. Are there models which could incorporate all the information provided by OHLC - regular 1-minute frequency data for example ? Usually only ...