Questions tagged [ohlc]
The ohlc tag has no usage guidance.
7
questions
1
vote
1answer
135 views
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 ...
1
vote
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 ...
0
votes
0answers
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 ...
3
votes
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 ...
-1
votes
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://...
1
vote
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:...
0
votes
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 ...
