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I am working with regular ohlc candlesticks. If there is a series of price ticks, and corresponding candlesticks, what is the gap between two adjacent candlesticks? In other words, what is the time gap between "close" of previous candlestick and "open" of the following candlestick? If this gap is zero, then every candlestick will have an "open" that is the "close" of the previous candlestick -- this is not true. My understanding is that the gap is one single tick, but I am not sure how IB handles this.
Can you help answer these questions from other members on NexusFi?
The close is the last tick of the old candle while the open is the first tick of the new candle. Each of these ticks represents a transaction between a buyer and seller.
When the price of the second transaction is the same as the price of the first transaction there is no gap between the close of the first and the open of the second candle. A gap indicates that the new candle has started with a downtick or an uptick.
Interactive Brokers real-time data has condensed ticks, that is their tick data does not show every single transaction.
Thanks. In the original post, I meant time gap, not price gap. Price gap of course depends on the market condition. I believe IB consolidates all ticks and transactions into 100 ms buckets -- could anyone confirm this?
