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using (var tf = TeaFile<Tick>.OpenWrite(filename)) creates and opens the file. the using directive and the brackets mean that at the cloing bracket the file is closed. so if you want to capture data from a provider you open the file oncy for the lifetime of the application and then all tf.Write for every tick. Before the app closes you close the file ...


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how about preprocessing the data and create mid_price = (H+L)/2 and range = H-L. And your Kalman filter apply to mid_price and range. Then you will not have the problem as you described


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