[R-SIG-Finance] tick data and one minute bar data appear out of line (IBrokers)

Joshua Ulrich josh.m.ulrich at gmail.com
Fri Mar 4 04:50:26 CET 2016

On Thu, Mar 3, 2016 at 9:38 PM, Stephen Choularton
<stephen at organicfoodmarkets.com.au> wrote:
> Hi
> I have been working on the spread between Commonwealth Bank (CBA.ASX) and
> National Australia Bank (NAB.ASX).
> I was a bit confused by the performance of my dealing loop so I took out the
> spread movement from rqHistoricData 1 minute bars using the close and
> plotted it and also the spread derived from the tick data from reqMktData
> which is being used to drive my dealing algorithm.
> They are in the same ballpark but really rather different.  The graph shows
> the position best and can be viewed at this url:
> http://www.organicfoodmarkets.com.au/bar-n-tick-plots.pdf
The 1-minute close price is a (potentially very small) sample of all
the price changes that occur in a given minute interval.  The fact
that they're similar is likely because the price wasn't moving much
during the hours in your plot.  If prices were moving a lot, I
wouldn't expect them to be very similar at all.

If you look at the tick data versus the high-low range, you should see
that all the tick prices fall within that range for every aggregate

> I am not experienced with this so I wondered if this sort of discrepancy is
> typical or am I just making a mess of it.  If they are typical so it makes
> setting trigger levels a bit difficult as mine are derived from bar data but
> implemented by tick data movement.  I'm surprised the tick data doesn't fall
> within the one minute bar so any comments would be of great interest.  Am I
> better to only work with tick data for example?
> Stephen Choularton PhD, FIoD
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Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com
R/Finance 2016 | www.rinfinance.com

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