Support Board
Date/Time: Fri, 07 Feb 2025 15:21:03 +0000
Post From: Tick data question - Last price vs. High
| [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. |