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Market-data includes all questions relative to data acquisition for the different financial products. It can also include questions about how market data are computed.
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How are OHLC bars made from bid, ask, and last trade prices?
This seems like a very basic question, but the Internet does not seem to know, so:
If you have a stream of bid, ask, and last trade prices, how do you convert those into periodic open/high/low/close …