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Bars created from broker real-time data feed differ from bars created from eSignal
- Thread starter abattia
- Start date
Quote from thstart:
OK, if OHLC is equivalent of Open, High, Low, Close, then they have a "natural" meaning for Daily, Weekly, Monthly, etc. intervals - you have Open for the Day, Close for the Day, High for the Day and Low for the Day. Now in intra-day interval of 1 minute or other minutes OHLC do not have this "natural" meaning. What Open for 1 minute means? Or Close for 1 minute? Now if you change the interval from 1 minute to 2, or 3 or whatever you will get a "phase shift" - if you know what I mean. If bars are represented visually as candlesticks you get different coloring if you change the minute intervals - it is not "natural" and means nothing because intervals lengths are arbitrary.
I think your logic is wrong, OHLC is more or less the same as a candlestick, they are just visually representations of the same grouping methodology. Grouping methodology means here, the grouping of raw ticks into a type which could be time, volume, range or ticks.
OHLC has, all depending on the type, an open, for example the open in a 5min timeframe would be grouped into an OHLC and the opening would be the first price in that group that goes into some 5 min interval for instance 10:00-10:05 (same approach with the high, low, close)
Interval length aren't arbitrary in either OHLC or candlestick, they are chosen by the viewer and is presented (normally) in the same interval throughout the chart.
Quote from jprad:
How does a day, week or month make more sense the something that is a multiple of a second?
Not all trading days are the same length, neither are weeks or months.
And, while their length may vary, they are all aggregates of a unit of time that is defined by a fixed number of oscillations of a certain atomic particle.
Besides, what happens if the stock market were to merge into a truly global 24/7 trading environment?
Wouldn't the daily begin and end times become just as arbitrary as you say intraday intervals are?
IMHO, I think you're putting too much emphasis on all this. All charts, bar, candle, P&F, etc. are nothing more than visual analogs for a stream of trade data.
What really matters is that the algorithm used to construct them not only produces them "correctly" but, that it can also graciously handle delayed openings, early closes and thinly traded instruments.
I am talking about stocks. Probably you mean futures or currencies.
OK - think about the meaning of these - a) "gap at open", b) "first trading hour" c) "last trading hour"- what they mean to you? If they mean nothing to you then you are missing important trading information.
If they have a meaning to you then:
In case of a) you have to know Open and Open has a "natural" meaning. In case of b) it has the meaning of 1h 30 min after opening. If Opening is at 9:30 EST "first trading hour" is referencing to 11:00 after the Open at 9:30. In case of c) it is related to Close.
If you pay attention to what happens in the "first trading hour" and know some "additional" info you can tell with high probability what can happen during remaining part of the day and especially "last hour".
This is what I mean by "natural". There is more of course. You can drop me a PM if want to know more about "additional".
P.S. By the way for futures you can follow stocks normal trading hours and get the same meaning. There is not such thing as abstract "atomic" but if know "natural" more likely will understand better.
Quote from jprad:
How is that any different than 5 days going into one week?
As for a phase shift. You might want to look at a 10 bar interval SMA on a minute chart and a 5 bar interval SMA on a 2 minute chart and see if there's really a phase shift introduced.
Hint; there isn't.
5 days is a "natural" divide, week is 7 days, 5 days are trading days.
These intervals are considered when big institutions are moving the market.
Quote from thstart:
I am talking about stocks. Probably you mean futures or currencies.
OK - think about the meaning of these - a) "gap at open", b) "first trading hour" c) "last trading hour"- what they mean to you? If they mean nothing to you then you are missing important trading information.
If they have a meaning to you then:
In case of a) you have to know Open and Open has a "natural" meaning. In case of b) it has the meaning of 1h 30 min after opening. If Opening is at 9:30 EST "first trading hour" is referencing to the Open at 9:30. In case of c) it is related to Close.
If you pay attention to what happens in the "first trading hour" and know some "additional" info you can tell with high probability what can happen during remaining part of the day and especially "last hour".
This is what I mean by "natural". There is more of course. you can drop me a PM.
We are not talking either stocks or currencies, but the whole concept of bars/ OHLC charts.
There is no need for you to change the original question to "gap at open" etc., we are discussing the meaning of bars/ OHLC.
You can boil both OHLC and candlesticks down to something that has some relation to a, b or c, but that was not the cause of my question.
When you are referring to a, b, c or the meaning of "natural" you are trying to explain something using your own words and consumptions, while I'm trying to discuss the logic behind your interpretations.
Quote from thstart:
5 days is a "natural" divide, week is 7 days, 5 days are trading days.
These intervals are considered when big institutions are moving the market.
Sad to say, but this is based at assumptions again. Could we please try to discuss the logic behind your interpretations of candlesticks and OHLC bars.
Quote from januson:
There is no need for you to change the original question to "gap at open" etc.
I am trying to tell you what has a meaning intra-day. OHLC has no meaning intra-day.
What OHLC means to you? Then try to explain the meaning of OHLC for intra-day data in common sense terms. Does it make sense to you?
If to you the stock market data are just digits unrelated to the nature of the stock market then you can search for dependencies and still not find ones.
Quote from januson:
We are not talking either stocks or currencies, but the whole concept of bars/ OHLC charts.
The bars and OHLC as far as I know are used specifically for stock market and have to applied the way they are invented to be used. As far as I know they were intended for EOD data analysis. For intraday there other ways. For EOD they have a meaning, but for intra-day - they do not have a meaning.
Quote from thstart:
...The bars and OHLC ... have to applied the way they are invented to be used. As far as I know they were intended for EOD data analysis. For intraday there other ways. For EOD they have a meaning, but for intra-day - they do not have a meaning...
This is not correct, IMO.
A perfectly valid trading style is to seek to anticipate the actions of other traders (i.e. a form of "order anticipator").
If a significant number of other traders use bars and OHLC on an intraday basis, then an order anticipator validly can reference their style to intraday OHLC activity on the charts. He can forget about "the way they are invented to be used"; he has his own use for them - they help him anticipate the actions of other traders.