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Questions tagged [ohlc]

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2 votes
1 answer
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Sample Wiener process constrained to open (initial), high (max), low (min), close (final)

With a Brownian bridge, one can sample a Wiener process constrained to a specified initial value and a final value. Can the same be done when the process is constrained also to have a specified ...
JoseOrtiz3's user avatar
1 vote
1 answer
149 views

Backtesting on one exchange, while trading on another?

I've been trading crypto futures on Phemex as it is one of the only few exchanges where I can do that from a U.S. IP address. I have always kept an up-to-date local database with OHLC/kline data from ...
jackRoark's user avatar
0 votes
1 answer
112 views

Estimate Open, High and Low prices from bid, ask and close prices

I know it's possible to efficiently estimate bid/ask spreads from OHLC prices and there are several methods to do so. However I have a data source that contains only bids, asks and close prices, no ...
pyCthon's user avatar
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0 votes
0 answers
50 views

Estimating Intraday Volatility with OHLC Data [duplicate]

I'm trying to estimate intraday volatility for some ETFs, but don't have the intraday data to actually calculate it. I do, however, have historical daily OHLC data for the ETFs. I thought I saw ...
Ringleader's user avatar
0 votes
0 answers
40 views

free download of 1- or 5-minute stock quote data [duplicate]

I know Yahoo has stock quote data (OHLCV). But it contains errors. tdameritrade API have 1- and 5-minute data. But it only starts at 7AM ET, instead of 4AM ET. It is only limited to 182 trading days, ...
user11980328's user avatar
0 votes
1 answer
801 views

Formal definition of Open-High-Low-Close (OHLC) price data

I am trying to understand Open-High-Low-Close (OHLC) data. Several sources agree in the following type of definition (Source): An OHLC chart is a type of bar chart that shows open, high, low, and ...
Eduardo J. Sanchez's user avatar
0 votes
1 answer
57 views

Incorrect ES future open data from CME?

I was trying to validate some intraday ES future data. However, it looks like even the CME official is incorrect. Let's take 2022-01-19 as an example CME shows the open price for MAR 22 is 4577.75 (...
rchen's user avatar
  • 3
1 vote
0 answers
79 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 ...
andrewH's user avatar
  • 111
1 vote
1 answer
272 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 ...
ABK's user avatar
  • 126
2 votes
1 answer
1k 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 ...
skeetastax's user avatar
0 votes
0 answers
187 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 ...
UmaN's user avatar
  • 523
3 votes
1 answer
2k 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 ...
Nyxynyx's user avatar
  • 129
-1 votes
1 answer
602 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://...
Qbik's user avatar
  • 1,018
1 vote
1 answer
902 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:...
Andrii Kubrak's user avatar
0 votes
2 answers
227 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 ...
Qbik's user avatar
  • 1,018