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

Joshua Ulrich josh.m.ulrich at gmail.com
Mon Mar 7 15:53:48 CET 2016

On Thu, Mar 3, 2016 at 11:47 PM, Stephen Choularton
<stephen at organicfoodmarkets.com.au> wrote:
> Hi Joshua
> Just trying to follow that comment '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 interval.'
> The summary of the two datasets is:
>  summary(bars)
>      Index                       CBA.Close
>  Min.   :2016-03-03 10:06:00   Min.   :48.31
>  1st Qu.:2016-03-03 11:37:00   1st Qu.:48.38
>  Median :2016-03-03 13:08:00   Median :48.45
>  Mean   :2016-03-03 13:08:00   Mean   :48.46
>  3rd Qu.:2016-03-03 14:39:00   3rd Qu.:48.53
>  Max.   :2016-03-03 16:10:00   Max.   :48.73
> and
> summary(ticks)
>    Min. 1st Qu.  Median    Mean 3rd Qu.    Max.
>   47.82   48.41   48.44   48.47   48.49   49.00
> Now that min figure is the result of some market closing phenomena and it
> really never went much below 48.3 so yes its true that they have a similar
> range and min and max but ticks gets up into the just under 49.0 level
> around 10:15 and bars only gets to that level around 11:30 and again at noon
> while ticks is under 48.6 at that point.
> Sounds like you don't think there is anything that unusual in the two
> datasets so I guess I had better take that on board and keep on trying to
> make this work.
I don't think there's anything unusual, unless the close prices are
outside the high-low range.  I think the piece you're missing is that
"high-low range" means the high and low prices (ticks) for a 1-minute
interval; not the max/min of the close price.

> Thanks for looking at it
> Stephen Choularton PhD, FIoD
> On 4/03/2016 2:50 PM, Joshua Ulrich wrote:
>> 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
>> interval.
>>> 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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