Support Board
Date/Time: Fri, 07 Feb 2025 14:46:45 +0000
[User Discussion] - Tick data question - Last price vs. High
View Count: 555
| [2020-06-01 20:12:06] |
| ivory - Posts: 95 |
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Hello, I am working with SC tick data to calculate probabilities of certain events. Based on the documentation I understand that on a per tick level High=Ask and Low=Bid. With that understanding, I still expected High to be the highest traded price in a tick and Low to be the lowest traded price. However, I see examples where this is not the case, e.g. consider this tick from MES on 2019-12-17 18:00:00: 0., 3197.25, 3197., 3197.75, 1, 1, 0, 1
High is 3197.25, but Last is 3197.75. Can you help me understand why is this the case? Thank you, I. |
| [2020-06-02 06:43:04] |
| Flipper - Posts: 65 |
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No High = Highest traded price. Not best bid/ask quotes, its the actual transacted price. |
| [2020-06-02 08:04:14] |
| ivory - Posts: 95 |
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That's incorrect. I am talking about tick data, i.e. contents of the .SCID file. See: Intraday Data File Format The high value of the data record stored in a 4-byte floating point format.
In the case where the data record holds 1 tick/trade of data, the High will be equal to Ask price at the time of the trade. The low value of the data record stored in a 4-byte floating point format.
In the case where the data record holds 1 tick/trade of data, the Low will be equal to Bid price at the time of the trade. In any case, I thought about it and the only way it makes sense to me is: 1) The only traded price in a tick is the "Close" 2) High is the ask price a.k.a. the lowest ask in the order book 3) Low is the bid price a.k.a. the highest bid in the order book So when "Close" on a tick is higher than "High" all it means it was bought for a price above the lowest ask in the order book at the time, which would indicate an aggressive buyer. Happy to hear your thoughts. Thanks, I. |
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