rochester new york/USA
Experience: Advanced
Platform: ThinkOrSwim & NT
Broker: NT, TOS
Trading: ES NQ RTY CL NG
Posts: 78 since Feb 2021
Thanks Given: 245
Thanks Received: 48
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Hi everyone,
I'm working on my own data analysis using the ticks OCHLV data which I converted to 1m OCHLV records.
I'm wondering if it's possible for anyone to provide the feedback on the candlestick equations to make sure that the details below is correct.
Time Intervals:
m -> minutes; h -> hours; d -> days; w -> weeks; M -> months
Interval time formats: 1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 1w, 1M
OCHLV:
O = Open
C = Close
H = High
L = Low
V = Volume
If the interval time request is 3m (3 minutes), it means that the 1m OCHLV data will pull 3 (THREE) 1m OCHLV records from database, then use the OCHLV formulas (see below) to calculate the 1m OCHLV values in order to display the 3m OCHLV values.
OCHLV Formulas: (based on n as total minutes request.)
Example: 3m = n, which n would be 3, only used for reference here.
1st 1m O + 2nd 1m O + 3rd 1m O = 3m Open
n (based on 3m)
1st 1m C + 2nd 1m C + 3rd 1m C = 3m Close
n (based on 3m)
1st 1m H + 2nd 1m H + 3rd 1m H = 3m High
n (based on 3m)
1st 1m L + 2nd 1m L + 3rd 1m L = 3m Low
n (based on 3m)
1st 1m V + 2nd 1m V + 3rd 1m V + nV = 3m Total Volume based on n minutes
Please let me know if the above information is correct.
Thanks!
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