Support Board
Date/Time: Fri, 31 Oct 2025 23:46:33 +0000
Difference between native and compressed bars
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| [2016-05-03 11:50:42] |
| skelcap - Posts: 139 |
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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.) |
| [2016-05-03 17:35:36] |
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Yes this does make sense.
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