Trading book ticker (buy/sell) data vs. OLHC data

Installations & Python Packages
1

Course Name: Python for Trading: Basic, Section No: 8, Unit No: 8, Unit type: Notebook

Let's supose that we have a Trading book .cvs file with buy and sell (ask/bid)operations. Since we need OHLC data, we'll have to resample it and get OHLC data… no prob.

But, what data set will we need ( ask and/or bid) in order to calculate the new resampled OHLC data set?

2

Hi Angel,



The bid/ask data is the order book data. The OHLC data is the price data. Both datasets are different. You can not resample the bid/ask order book data and get the OHLC data. The primary reason for that is OHLC data gives you the last traded price and the bid/ask order book only gives you the unmatched best bid and ask prices.



Hope this helps!