Support Board
Date/Time: Wed, 14 May 2025 00:56:41 +0000
Post From: Difference between native and compressed bars
| [2016-05-03 11:50:42] |
| skelcap - Posts: 139 |
|
I used to use Intraday Data Storage Time Unit = 1 Second but then I switched it to 1 Tick and periodically compressing to 1 Second Bars. It seems there is a difference between the "native" (i.e. directly downloaded) 1 Second bars versus the compressed 1 Second bars. If there was only 1 trade in a given second then the native bar will have O = H = L = C but the compressed bar will still be in the tick format O = 0, L = Bid, H = Ask, C = traded value. In case there was more than 1 trade then it seems the native and compressed bars agree. Can you please confirm this is the case? (It might seem like a nit-picking issue but I ran into the issue doing a simulation where I assumed there was a clear watershed between bar/tick data.) |