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How are OHLCV calculated from Dukascopy Tick Data?

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mx55333

Customer, bbp_participant, community, 84 replies.

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7 years ago #112148

From Dukascopy Tick Data (time, bid, ask, bid size, ask size),

 

1. How does SQ calculate OHLCV values?  Does SQ use median prices, bid prices or ask prices?

2. Is V value real volume? Any multiplier?

 

Thanks

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Mark Fric

Administrator, sq-ultimate, 3 replies.

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7 years ago #124527

Hello,

 

OHLC prices are computed from Bid price, all the trading platforms I know use Bid prices to compute OHLC and to draw charts.

 

Volume value is computed without any multiplier as far as I remember, it is a sum of ask volume + bid volume.

Mark
StrategyQuant architect

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jithin

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7 years ago #124572

Hello Mark,

                From Dukascopy Tick Data (time, bid, ask, bid size, ask size),

               i) I bring tick data of “EURUSD” to stratquant.

               ii)I select as ‘Main data for testing’.I set symbol EURUSD & Period as M1.I aslso set date range insample & out of sample.

               iii)For Test Precision ,I select “Tick Simulation (Slowest)”.

               iV)Later I set other strategy options,building blocks,genetic options,ranking etc.

 

              So when we select Tick simulation Will internally these data is converted to OHLCV in 1 minute basis ? like you replied just above.

 

             I like to know a little deeper how Tick simulation works.

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Mark Fric

Administrator, sq-ultimate, 3 replies.

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7 years ago #124576

Hello,

 

Tick simulation simulates ticks using 1 minute data. It can be used if you don’t have real tick data imported or if you want faster backtests with still quite good precision.

 

No matter what period you choose, it uses also 1 minute data internally for intra-bar movement, and it simulates 4 ticks for each minute candle.

 

If you want to know how exactly tick simulation works you can find some articles about MetaTrader. Our algorithm is not exactly as same as used in MT4, but the principle is the same.

Mark
StrategyQuant architect

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jithin

Subscriber, bbp_participant, community, 8 replies.

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7 years ago #124613

Thank you Mark,This helps me to differentiate b/w Tick simulation & Real Tick

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