Support Board
Date/Time: Fri, 07 Feb 2025 15:21:19 +0000
Post From: Tick data question - Last price vs. High
| [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. |