Intraday price bar calculation

February 21st, 2015, 08:14 PM

This might sound like a stupid question, but how are intra day price bars actually calculated? Starting from the open of the RTH session. I always assumed this was a very standardized process, however I have conflicts between different platforms that have nothing to do with the underling data/ session start times, but in the way the data is calculated into price bars. Eg the Open/Close of intra day price bars are different, so are the time stamps on certain timeframes.

The platform with the conflicts believes there is no right or wrong here, and they explain the time stamp difference is due to them using a different input method eg calculating on the open vs the last. However it also appears they use an entirely different calculation, that looks back rather than looks forward.

Can anyone provide some clarity on this?

February 23rd, 2015, 04:55 AM

The question is a bit theoretical. I do not know what instruments and what chart type you talk about. As you mention the RTH session, I think your question relates to futures. It is obvious that instruments which are traded via different exchanges or electronic communication networks will not show identical price data. This would be the case for FOREX. However, if all the price data comes from a single source, it should be identical.

Nevertheless, there can be differences:

Timestamps:

Quality datafeeds usually have the trade data timestamped. This means that the real-time data is display in accordance with the timestamp generated at the exchange. However, there are datafeeds that just supply data in real-time and are then timestamped by your trading software. For example, NinjaTrader adds the timestamps to the real-time data of Interative Brokers. That means that the real-time data is slightly delayed on your chart. This would not apply to historical data, as the backfill comes with the timestamps included (otherwise it could not be used).

In case that your PC adds the timestamps to the data feed, the permanent synchronization of your system clock is an important issue.

Granularity:

This is basically the question between unfiltered and filtered or condensed tick data. Some data providers do not supply all ticks as they occur on the exchange, but the data stream is reduced. Again I may point to Interactive Brokers. The ticks supplied are not real ticks but snap shots, which are sent several times per second. Therefore if you open any chart built from ticks - this includes tick, volume, range and Renko charts - you would have a completely different picture compared to an unfiltered data feed.

In case that you trade charts built from ticks or that you wish to have reliable volume information, you should only use an unfiltered data feed.

Intraday price bar calculation

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Intraday price bar calculation