Questions tagged [ohlc]
The ohlc tag has no usage guidance.
11
questions
0
votes
0answers
18 views
From ohlc data to tpo chart
I want to create an algorithm that translates data from OHLC to TPO.
My data is in this format (start, end, open, high, low, close and volume):
...
0
votes
0answers
41 views
Quantifying accuracy of candlestick OHLC patterns
Is there any way of quantifying the candlestick OHLC patterns? There are lots of patterns such as morning star, evening star and so on, but I have not found any statistics on how often these work out ...
0
votes
0answers
40 views
Free Software for plotting OHLC data
I have OHLC data in the following format from 2011 onwards :
Instrument
Date
Time
Open
High
Low
Close
NIFTY
20080101
9:55
6138.6
6154.6
6138.6
6148.9
NIFTY
20080101
9:56
6149.75
6149.75
6132.8
6132....
1
vote
0answers
32 views
How can one, from regular predictions of high & low prices of a security, their variances and error covariance, construct a trading strategy?
Suppose I have an algorithm that provides a prediction of the daily high and low of some security n periods in the future, a confidence interval for each of these predictions, and the correlation ...
1
vote
1answer
171 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 ...
2
votes
1answer
598 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
169 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
1k 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
383 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
664 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
133 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 ...