Hello,

I am looking for explanations with regards to the fields in the interval historical data for equities shown below from the documentation.

HIT

Time Stamp CCYY-MM-DD HH:MM:SS Example: 2008-09-01 16:01:00
High Decimal Example: 146.2587
Low Decimal Example: 145.2587
Open Decimal Example: 146.2587
Close Decimal Example: 145.2587
Total Volume Integer Example: 1285001
Period Volume Integer Example: 1285

Say I pull data at 1 minute intervals. Can you please confirm what each of these fields means and on what interval do they take place?

High: the highest price reached during that one minute interval from 16:00:00 - 16:01:00
Low: the lowest price reached during that one minute interval from 16:00:00 - 16:01:00
Open: the price of the equity at the exact time 16:01:00 ?? 16:00:00 ??
Close: the price of the equity a minute later 16:02:00 ?? 16:01:00 ??
Total Volume: the total volume at this particular time-stamp starting from the first trade that day
Period Volume: the volume from the time 16:00:00 - 16:01:00 ? or 16:01:00 - 16:02:00?

Here is some sample data I pulled:

2014-12-18 09:31:00,3.5500,3.4400,3.5100,3.5500,12427,12267,
2014-12-18 09:32:00,3.4500,3.4500,3.4500,3.4500,12527,100,
2014-12-18 09:33:00,3.5500,3.5400,3.5500,3.5400,13827,1300,

Shouldn't the the close price of the equity at 09:31:00 (3.5500) be equal to the open price (3.4500) of the equity at 09:32:00?

Also looking at the following equity data (minute interval) from day to day:

'2014-12-18 16:33:00' '50.3660' '50.3660' '50.3660' '50.3660' '156454' '238'
'2014-12-19 09:31:00' '51.2400' '50.7100' '50.7100' '51.2400' '11055' '11055'

Shouldn't one of the values of the previous day be equivalent to the open of the next day? The close values vs open values also do not correspond..

I even pulled some tick data, and the previous day close values do not correspond to the next days open values. (AAVL)

'2014-12-24 13:00:00' '47.3000' '1576' '161055' '47.2900' '47.3000' '970378'
'2014-12-26 09:30:00' '47.5000' '203' '203' '45.9500' '47.9000' '2550'

There is no detailed explanation of these values anywhere so I would appreciate your help.

Best,
Rob

Edited by lyxos on Jun 22, 2015 at 07:26 PM

Rob,

An interval/bar only includes trades that occurred inside that interval. Take a 1 minute bar as an example. What happened in minute 1 doesn't have any impact on the bar in minute 2. So, the close of bar 1 doesn't equal the open of bar 2. The open of bar 2 represents the first trade that occurs inside that minute. If only one trade occurs during that minute, the Open, High, Low and Close will all be the same value. If there were no trades during that 1 minute, there wouldn't be a bar. A good way to see this is to look at something that doesn't trade very often (example: BRK.A). Looking at 1 minute bar data, you will notice several "missing" bars where the stock didn't trade during those minutes. Some minutes there was incremental volume of 1 (one share/one trade), and thus the OHLC all have the same value in that minute. There are other 1 minute bars that have more than a single trade (and at different prices), and thus the OHLC are representative of the summary of the trades within that minute.

All of this holds true no matter what the interval (1 minute, 5 minutes, daily, etc)

I hope this helps.

---

Jay Froscheiser
Vice President, Active Trader Products

Makes perfect sense!! Much appreciated.

Best,
Robert