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Displaying candle data for thinly traded stocks
4 messages · Stefan Petry, G See, Jeff Ryan +1 more
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In addition to 'nothing to do with R' at present, your affiliation links back to a private beta, which would make me think you are simply soliciting opinions for commercial purposes. While the latter is fine I suppose, you haven't provided anyone anything to motivate a response. That said, I'd think (ii) is the best option, since I *am* responding. Using R's quantmod, times without any trading would be skipped - either with a gap in a regularized series, or no gap in an irregular one. This is pretty consistent with most every implementation I can think of. Jeff
On Wed, Sep 28, 2011 at 2:15 PM, Stefan Petry <spetry at quantbench.com> wrote:
I would appreciate some advice on how to best display candle data for sporadically traded stocks. Is there any standard or best practice on how to represent a candle during which there were zero trades? The options I can think of are either (i) to draw a candle where OHLC are all the same as the closing price of the previous candle or (ii) to not draw a candle at all. If (i) turns out to be the right answer, which price would you use for the periods prior to the first trade? Thanks a lot! Stefan ? ? ? ?[[alternative HTML version deleted]]
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Jeffrey Ryan jeffrey.ryan at lemnica.com www.lemnica.com www.esotericR.com
1 day later
Please forgive me for stating the obvious, but... A candle is not
defined for a period in which no trades occur.
jab
On Wed, Sep 28, 2011 at 12:15 PM, Stefan Petry <spetry at quantbench.com> wrote:
I would appreciate some advice on how to best display candle data for sporadically traded stocks. Is there any standard or best practice on how to represent a candle during which there were zero trades? The options I can think of are either (i) to draw a candle where OHLC are all the same as the closing price of the previous candle or (ii) to not draw a candle at all. If (i) turns out to be the right answer, which price would you use for the periods prior to the first trade? Thanks a lot! Stefan