tick data and one minute bar data appear out of line (IBrokers)
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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