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Purpose |
Identifies time, price, volume (and open interest) data for a bar. |
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Structure |
typedef struct { ASPEN_TIME time; ASPEN_PRICE high; ASPEN_PRICE low; ASPEN_PRICE open; ASPEN_PRICE close; ASPEN_VOLUME volume; ASPEN_VOLUME open_interest; }ASPEN_BAR; |
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Fields |
time the absolute time at which the bar's time interval begins.
high The highest tick-price of all qualified ticks recorded during the bar interval.
low The lowest tick-price of all qualified ticks recorded during the bar interval.
open First qualified tick-price recorded during the bar interval.
close Last qualified tick-price recorded during the bar interval.
The high, low, open, and close fields contains Aspen-format price values. Each field is formed by consolidating the price values of ticks which occurred within the bar interval.
Not all types of ticks are qualified to set of these fields. The ticks that matter are defined by one or more trading rule associated with the instrument's parent exchange.
Generally, ticks of type ASPEN_BATE_TRADE, ASPEN_BATE_SETTLE, ASPEN_BATE_OPEN, and ASPEN_BATE_CLOSE affect the setting of the high, low, open, and close fields. For example, if the exchange's trading rules specify that "a bid acts like a trade", ASPEN_BATE_BID ticks affect high, low, open, and close. Other trading rules are exist. The Aspen Research Group, Ltd. publication titled Bar Building White Paper contains an excellent explanation of trading rules.
Standard "daily bars" (globally aligned bars with a width of ASPEN_DAY minutes) are retrieved from their own distinct database and contain prices and volumes for each day as given by the exchange. Trading rules define the kinds of ticks that set daily volume.
volume An Aspen-format representation of the aggregate volume (sum of the volumes of all qualified ticks recorded during the bar interval) associated with the bar.
The measure of volume is dependent on the exchange. Stock exchanges typically indicate number of shares. Futures exchanges typically indicate number of contracts. If no volume value is supplied by the exchange or data vendor, then an Aspen Server reports a count of the number of qualified ticks recorded during the bar interval.
open_interest open_interest contains an Aspen-format volume value which indicates the prior day's open interest as reported by the exchange.
The open_interest field is valid only for futures instruments (type ASPEN_IT_FUTURE) and only for bars of daily width (ASPEN_DAY minutes).
The ASPEN_BAR structure contains historical trading information for a particular instrument in a high-low, open-close style.
The number of minutes covered by a bar is known as its bar width. The specific range of minutes covered by a specific bar is known as the bar's time interval, or bar interval.
Bar width is selected by the application when one or more bars are requested. Aspen Servers maintain historical archives of both daily and intra-day bars.
The defined constant ASPEN_DAY represents a value of 1440 minutes (24 hours). This value must be used when requesting daily bars.
The intra-day bar width supported by a particular Server may be obtained by using the ASPEN_GetServerInfo service. This value must be used when requesting intra-day bars.
All bars are globally aligned meaning that the first bar (of any width) on any day begins relative to 12:00 a.m. at the International Date Line (Aspen time zone 1). |
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See Also |
©2006 Aspen Research Group, Ltd. All rights reserved. Terms of Use.
