how do we calculate the open and closed price knowing that we have more than 15 ticks per millise...

liyarthomas
liyarthomas Explorer
in EMA
how do we calculate the open and closed price knowing that we have more than 15 ticks per millisecond
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  • warat.boonyanit
    warat.boonyanit LSEG
    Answer ✓

    @liyarthomas

    As @Gurpreet said, Tick History can offer you the intraday dataset.

    Otherwise, you have to create a function that calculates the OHLC of each interval.

    If you already capture every single ticks to your database, then it is easier to do the calculation from the database.

    Every price or quote ticks have their time fields. For example, the quote tick from forex has Quote Time "QUOTIM" field.

    name="AUD="
    FieldEntry fid="22" name="BID" dataType="Real" value="0.7982"
    FieldEntry fid="393" name="PRIMACT_1" dataType="Real" value="0.7982"
    FieldEntry fid="25" name="ASK" dataType="Real" value="0.7986"
    FieldEntry fid="275" name="SEC_ACT_1" dataType="Real" value="0.7986"
    FieldEntry fid="875" name="VALUE_DT1" dataType="Date" value="16 FEB 2018"
    FieldEntry fid="1010" name="VALUE_TS1" dataType="Time" value="09:09:00:000:000:000"
    FieldEntry fid="5" name="TIMACT" dataType="Time" value="09:09:00:000:000:000"
    FieldEntry fid="11" name="NETCHNG_1" dataType="Real" value="0.0039"
    FieldEntry fid="17" name="ACTIV_DATE" dataType="Date" value="16 FEB 2018"
    FieldEntry fid="32" name="ACVOL_1" dataType="Real" value="49175"
    FieldEntry fid="56" name="PCTCHNG" dataType="Real" value="0.49"
    FieldEntry fid="114" name="BID_NET_CH" dataType="Real" value="0.0039"
    FieldEntry fid="115" name="BID_TICK_1" dataType="Enum" value="2"
    FieldEntry fid="134" name="MID_PRICE" dataType="Real" value="0.7984"
    FieldEntry fid="135" name="MID_NET_CH" dataType="Real" value="0.0038"
    FieldEntry fid="211" name="NUM_BIDS" dataType="Real" value="49175"
    FieldEntry fid="270" name="ACT_TP_1" dataType="Enum" value="27"
    FieldEntry fid="831" name="CTBTR_1" dataType="Rmtes" value="RBS         "
    FieldEntry fid="836" name="CTB_LOC1" dataType="Rmtes" value="LON"
    FieldEntry fid="841" name="CTB_PAGE1" dataType="Rmtes" value="RBSL"
    FieldEntry fid="1025" name="QUOTIM" dataType="Time" value="09:09:00:000:000:000"
    . . .

    You should use the time field when you do the interval cut-off.

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