Thanks acidburn. OK, expanding on what's in the first link:
Bar is defined as the Ask HLOC of the Ticks within a given time period as follows: High is the highest Ask of all Ticks, Low is the lowest Ask of all Ticks, Open is the Ask of the first Tick, and Close is the Ask of the last Tick.
Correct?
Thanks.
IMHO, yes, now our definitions match. And now you match my algorithm to create OHLC bars from tick data. Congratulations, we have just reinvented the wheel.
Although, to be more general, the price needs not to be Ask, it could've been Bid. I think Zorro uses Ask, most other platforms I've seen use Bid. That of course doesn't change much in practice.
