About OHLC candle data

[savagemp5]

Quote from SunTrader:

Lets back up a minute. For instance what symbols are you talking about?

Because even on 1 minute basis most stocks, which have any kind of volume, very infrequently have the same open/close.


Also you haven't specified how your strat will be coded (your prerogative) so how can someone else determine if the "true" open/close matters - to you.

Symbols = Any securities traded on electronic exch platform.

I give you 1 data list, Last done price per 100 ms. Let's forget level 2 quotes and the bid/ask spread.

Here you have 390 mins x 60 x 10 ticks of data for a day's trading.

who's is there to determine what is Open and Close Are they important ?

There's no true open and close, and likely the close might be just the open, as good as using them to draw graphs and charts for human interpretation, or maybe 'some kind' of quantitative analysis over it. That some kind, is how I implement my Algorithm.

 

[SunTrader]

Quote from savagemp5:........ There's no true open and close,........

I disagree completely and will leave it at that.

But there is a reason why bars plot OHLC.

 

[savagemp5]

Well great, disagreeing is good so it proves we see things differently!