Minute bars - when do they end?
- Thread starter pistolpt
- Start date
Can't imagine that making any difference.
I think he wouldn't be trading from M1 bars, as a HFT? He'd want either volume-bars or tick-charts? And probably wouldn't be asking the question at all? So, for myself, I'm back to "It doesn't make any difference".
It ends when you / platform vendor decides it does. Because OHLC bars are an arbitrary construct, albeit a commonly used one. From my code that I wrote to make minute bars from tick data to use in Sierra Chart or TradeStation:
Sierra Chart 8:30 minute bar: It started at 08:30:00.000
TradeStation 8:30 minute bar: It ended at 08:30:00.000
* Bar creation: all ticks between say, 08:30:00.000 to 08:30:59.999 is aggregated
* to a minute bar labeled 08:30. This is how SierraChart creates OHLC bars.
* TradeStation, on the other hand, aggregates all ticks between say, 08:30:00.001
* to 08:31:00.000 to a minute bar labeled 08:31. So, SC 08:30 1 minute bar and TS
* 08:31 1 minute bar is not identical. It is almost the same, with a shift of
* 1 millisecond between the aggregation boundary. We will
* treat our 08:30 minute bar as SC 08:30 minute bar (100% correct) and as TS 08:31
* minute bar (100% correct on most cases; 99.998333% correct in the worst case
* scenario).
HTH
Not to humans. But needs to be answered if you are writing code to trade or are developing platforms. What is obvious to us isn't to machines.
Yeah, but if OP were coding for "Front-Running HFT", he wouldn't need to ask that question.
I don't use vendor charting any more, but I "assumed" Vendors went by tick and <8:30:00 was the 8:29 one minute bar. But so many have 8:30 or 8:31 representing 8:30, gets so confusing after awhile. But I often wondered if it ended at 59 seconds and one nano second was open of next bar. I don't know what decimal point CME have their ticks limited?
I use to have three different vendors charting programs, IB was the worst as they have highs/lows off, and others would not send all the ticks cause their equipment would slow down transmission as well. I tried CQG and they give all the ticks but would slow down.
Am sure HFTs have their charting and automation to <8:30:00 to be 8:29 bar.
I use to have three different vendors charting programs, IB was the worst as they have highs/lows off, and others would not send all the ticks cause their equipment would slow down transmission as well. I tried CQG and they give all the ticks but would slow down.
Am sure HFTs have their charting and automation to <8:30:00 to be 8:29 bar.