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PostPosted: Sun Jan 05, 2014 11:09 am 
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Joined: Wed Aug 08, 2007 6:32 pm
Posts: 236
Hi,

1. Is it possible to build sub-second bars from trade data?

eg 1 millisecond or less data into bars.

2. Also is it possible to fill the empty intervals between trades with bars that effectively hold the last value?


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PostPosted: Sun Jan 05, 2014 8:41 pm 
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Joined: Tue Aug 05, 2003 3:43 pm
Posts: 6817
Hi,

I don't think it's possible in OpenQuant, since it's not event possible to define less than one second interval in the BarFactory (bar length is time interval in seconds everywhere in the framework). We may think about switching to milliseconds in OpenQuant 2014 but is there any practical reason for sub second bars?

Regards,
Anton


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