Stargrazer, you've sent me in the right direction. I now have much more clarity. I messed up the previous thread and decided to start a new one since it is a new tipic anyway.

I am reading this html document: Historical via TCP/IP and haveing a few questions.

It looks like HIX provides granulated tick data by minute or saying differently, averaged ticks aggregated into one minute intervals. Is it true? Some minutes are missing that means that those bins did not have trades, correct?

Their description is confusing. I think they mix ticks that are individual trades with granulated data which are ticks averaged over one minute or one hour or whatever.

I need one minute granulated trades, that's it.

I would appreciate if you make the subject clear, just in case.

Thanks.

---

AlexB
Edited by alexB on Jan 3, 2010 at 01:39 PM

HIX is minute data, correct. You choose the interval (1 minute, 5 minute, 9 minute, etc) I am not sure what you mean by "granulated trades" vs. "individual trades". Minute intervals provide OHLCV based on the trades that occurred during that interval. If the stock didn't trade during an interval, you won't get a value since there was no open, high, low, close or volume during that interval. There is no averaging of any data during the interval.

---

Jay Froscheiser
DTN

Thank you Jay,

How about intervals (1 min) where there have been a number of trades closed with different close values? What do you do with let say 5 such values:

12:05:23 201.2
12:05:29 201.5
12:05:40 201.09
etc.

How do you close this bin?

Thanks.

---

AlexB

Your definition of a bin is typically referred to as a bar, which is basically a summary of all trades within an interval. In your example, an interval would be [12:05:00 - 12:05:59]. The bar has open/high/low/close (ohlc). The bar from your data would be 201.20/201.50/201.09/201.09.

Thank you. But I don't understand it. A bar (bin) can have only one value as a close, one value for open, one value for high, one for low. You cannot say that a bin has three close.

How do you calculate those?

I suspect you take first open as the final open, last close for the final close and last bid and ask for the final bid and ask. Is it correct? Or you average all bid's and assume it is the representative bid for the interval, average all close and assume it as a value for the itnerval, etc?

---

AlexB

The open is the value of the first trade of the interval, the close is the value of the last trade of the interval, the high is the max(all trades of interval), the low is the min(all trades of interval).

When I granulate ticks in one minute interval (I do it in real time in my machine) I average all values that come in during that 60 sec period.

---

AlexB

The open is the value of the first trade of the interval, the close is the value of the last trade of the interval, the high is the max(all trades of interval), the low is the min(all trades of interval).

It answers my question. Thanks.

---

AlexB