Can you convert market tick data to bars?
After the presentation by Dr Ernie Chan, I wonder if this was possible based on other conversations I have had with other people:
Here is how it played out:
Do you know of any simple calculation you know of to convert tick data minute bars?
Nowadays I typically let my partner handle the tick data processing.But this generally requires a loop which keep track of the tick values and the time elapsed. Whenever the elapsed time reaches or exceeds the duration of a bar, you save the latest tick into an array, and reset the elapsed time to zero.This of course assumes that the tick appear in time order. If not, it can get complicated.
FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!If your ticks are trades, then there is no midpoint or average to compute. If your ticks are bid or ask quotes, then you have to find out whether it replaces the BBO quotes. A binary search tree would be useful here. But it depends on exactly what your tick data is: every quote, or just the BBO updates.In no cases should you use average or midpoint.