## how exactly are sub-day candlesticks computed?

This is a discussion on how exactly are sub-day candlesticks computed? within the Technical Analysis forums, part of the Methods category; This is most likely a dumb question. Take for example a 10-min candlestick, let's say from 15:00 to 15:10. Is ...

 May 31, 2007, 10:01am #1 Joined May 2007 how exactly are sub-day candlesticks computed? This is most likely a dumb question. Take for example a 10-min candlestick, let's say from 15:00 to 15:10. Is this computed including *all* trades between whitin this time interval? Or is there some sort of time discretization? I ask this because I want to understand what exactly determines that the opening of the 15:10-15:20 candlestick can be quite different than the close of the 15:00-15:10 candlestick. Is the jump due to just a single trade or (this is just an example) the first trade after, say, 15:10:02? I use Interactive Brokers charts and by comparing the line chart and the candlesticks I don't think a single trade can make such a big spread, but I can't find anything in the documentation. Thanks.
 May 31, 2007, 10:46am #2 Joined Dec 2005 a 10 minute candle includes all ticks within that 10 minute period - ticks are not individual trades just the price going up / down one measure (pip or point) even if you knew the number of ticks you would not know the number of trades as there are likely many hundreds or thousands of trades at any one tick level. hope this helps. Ps, what is discretization? __________________ If you are in a game and don't know who the sucker is ... It's you.
 May 31, 2007, 11:02am #3 Joined Sep 2005 I thought they were actual fills that were plotted. eg in IB's charting package you can also choose to have the bid/ask plotted on the chart but it's on an overlay of the candles which are made up of prices traded. This also explains the gaps between candles, as if the opening trade is a 'buy', while the previous close was a 'sell' you'll get a gap of the bid/ask spread even if the effective mid-price hasn't changed.
 May 31, 2007, 11:34am #4 Joined May 2007 Thanks both for the replies. fxwinner, you are right, I should have written ticks instead of trades. So let me rephrase: are the candlesticks computed using *all* ticks or only, say, ticks separated by a certain time interval? This is what I would call "discretization" (i.e. using a discrete time instead of the continuous time tick). Let me illustrate this further using line charts as an example: if I compare two line charts, say over a range of 1 day and 15 minutes, then clearly the 1-day line chart does *not* include all ticks, and the short time fluctuations have disappeared. Jack, yes I am using candlesticks with actual fills. Indeed the bid-ask spread explains some of the gap, but sometimes it seems that the gap is much bigger than the bid-ask spread, hence my question above. Thanks again.