Dollar bars what tick price and volume?

AI & Machine learning
1

Hello 

Probably a silly question but when creating dollar bars as in your course.  It your example it is labeled just price and volume but do you use the ask bid price , ask bid volume obtained from tick feed? 

2

Hi Stephen, 



In the notebook, the data used is for the transacted price and volume and not the bid-ask data. The price and volume data represents actual trades which helps in resampling. Whereas bid-ask data might not signify the actual trade. However, it can give you information about the saturation of buyers and sellers. You can use the difference between the two for resampling.



Thanks!

3

hmm ok not sure how to use tick data then when I have both ask and bid for price and volume. Can you create the dollar bars from 1M or 1s time bars or does it have to be tick data . thanks

4

Hi Stephen, 



It would not be possible to create tick data from the bid-ask data. Also, you cannot create dollar bars from a 1-minute or 1-sec time bars. This is because the actual timestamp from where a new candle (for a dollar bar) is supposed to be formed will not be available. The dollar bars can be created only from tick data.



I hope this helps.



Thanks!