Well I wrote you the definition few posts before. It's very short so you missed it. I wouldn't count on jcl to provide us the definition because he's too fond of his ticks and doesn't like bars very much.

Actually, I don't see where you wrote an exact definition of BAR that would include how to calculate from Ticks, just comments on definitions, so I"m still looking for that exact definition.

Maybe jcl will break down a little and give us Bicks or Tars?

Here: http://www.opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=435146#Post435146
And here: http://www.opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=435286#Post435286

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.

Yes, I used Ask 'cause this is the Zorro forum!

Probably did reinvent, but I haven't found a succinct definition of Bar in web searches yet. Although there are lots of uses of tick, a la jcl!

This thread has been busy while I've been offline for a couple of weeks!

Can I summarize what I would like before I waste time on sub 30 min strategy development:

1) Updated FXCM Bar files as jcl discussed, we'll need to test any strategy on their data before running it live anyway no matter how good our other tick data is.

2) A community project to develop and maintain historical tick data (timestamp, ask, bid) possibly using dukascopy tick data (it is of high quality, but there are others, and Dukascopy doesn't have index, commodity data afaik). Unsure of licencing issues here.

3) Convert the high quality tick data to 1 min OHLC Bar files and share them.

4) For us to be able to use actual spreads between the bid and ask in our script logic not just the reported spread from the broker. Useful as a filter for when things go all NFP crazy. I've asked for this already.

5) For trades to be accurately stopped out/limit hit in back tests when you get temporarily high spreads. I assume the current model uses ask prices with reported as opposed to actual spreads. Unsure how that would work.

5) For zorro to be able to use actual ticks (timestamp, bid ask) in back tests with set(TICKS);

6) To be able to use bars of fixed numbers of ticks as opposed to the current time based bars.

jcl, any thoughts on 4 - 6? How feasible is any of that?

Community, any support for 2 & 3?

That is certainly possible. In fact an old Zorro version indeed used actual spreads for the simulation, and we had also tested actual price quotes instead of the 1-minute ticks by the price history API. In both cases the results were no different than with the current version, but the calculation time was much longer. Therefore this was abandoned.

But historic files with ticks from real price quotes is still on our implementation list because it is frequently asked for by users.