Forming OCHLV data from bid/ask streams

[jjphung]

First off, this is such a useful library and I appreciate all the work @hootnot put into this!

Moving onto the discussion/question, does anyone have ideas on how to calculate Open, High, and Low from the streaming tick bid/ask? I noticed that in my research, people take the average of the bid and ask, like in the sibling repo oandapyV20-examples in order to calculate Close. However in the incoming Oanda streams, I don't think there are bids and ask prices for Open, High, and Low [1]. Thank you!

1. Reddit Link explaining averaging to calculate OCHLV data

[hootnot]

Hi @jjphung ,

This question was asked recently also: #178

Bid/Ask price is the price to buy (ask for you) or sell (bid for you) at a certain moment. Those prices by definition do not have a high or low. The orderbook gives the next near the last offered bid/ask. Depending on the depth of the orderbook you can get more prices. Picture of the BTC/USD orderbook: https://www.cryptocompare.com/coins/btc/orderbook/USD

As soon as you are trying to determine a OHLC for bid/ask quotes you introduce a timeframe because your are aggregating data. The historical OHLC records offered by OANDA start with a timeframe of 5-seconds (S5). For all OHLC-records granularities you can specify the type: M/B/A (Mid/Bid/Ask), https://developer.oanda.com/rest-live-v20/instrument-ep/#collapse_2_example_curl_2

What is it you miss in this data?

[jjphung]

Oh perfect! Your reply in that thread was exactly what I was missing and looking for. Fabricating OHCL from streams. I'll be sure to check it out. Thanks again!