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 ...

Reply
 
LinkBack Thread Tools Search this Thread
Old May 31, 2007, 11:01am   #1
 
9 Posts
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.
DrStarsky is offline   Reply With Quote
Old May 31, 2007, 11:46am   #2
 
fxwinner22's Avatar
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.
fxwinner22 is offline   Reply With Quote
Old May 31, 2007, 12:02pm   #3
 
Jack o'Clubs's Avatar
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.
Jack o'Clubs is offline   Reply With Quote
Old May 31, 2007, 12:34pm   #4
 
9 Posts
Joined May 2007
DrStarsky started this thread 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.
DrStarsky is offline   Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Similar Threads
Thread Thread Starter Forum Replies Last Post
Day to Day life of a trader. lususnaturae Trading Firms 9 Apr 15, 2011 1:37pm
Day to Day life of a trader lususnaturae Home Trader 7 Mar 12, 2011 9:47pm
Day Trading Broker Nonameo Discretionary Trading 5 Nov 11, 2008 10:38pm
Pair of the day / week wasp Forex 14 Jul 2, 2007 2:38pm
May Day? Splitlink The Foyer 2 May 1, 2007 7:20am

Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)