How to Read Minute-Level OHLCV Trade Data
Summary
The document explains the fields in minute-by-minute stock trade data. Volume is the amount traded during the interval; open is the first trade price, high and low are the extremes among trades, and last (or close) is the final trade price for that minute. These definitions describe trades within each time bucket, rather than prices sampled at the exact start or end of the minute.
It also highlights two details that matter when working with intraday series: a minute may have no record if no trade occurred, and the intervals should be assigned consistently so adjacent buckets do not overlap. The example uses minute-of-day values, but the definitions apply more broadly to OHLC bars. The explanation concerns trade-based bars; it does not discuss quote bars, vendor-specific timestamp conventions, or how a data provider handles empty intervals, so those details should be checked for a particular feed.
Key ideas
- Open is the first trade price recorded within a minute.
- High and low are the highest and lowest trade prices during that interval.
- Last or close is the final trade price recorded within the minute.
- A minute without trades may have no bar, depending on the data construction.
- Using half-open time intervals assigns each trade to one non-overlapping bucket.
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Full text
# How to interpret minute by minute ticker data
# How to interpret minute by minute ticker data
The data is in the following format:
{
Time= 650
Volume=700
Last=89.22
High=89.56
Low=89.20
Open=89.25
}
I understand that the time value represents the current minute of the day, market open being 570 and close 960
I also assume that volume means that in the 650th minute of market trading 700 shares of this stock were traded
But I am confused about what high/low and open/last mean?
from my understanding last is the last price the stock was traded at during the previous minute of market activity, open is the price its traded at the very beginning of the current minute and high and low are the highest and lowest prices the stock was traded at any moment within that minute.
The above explanation is the most logical reasoning I can think of for this type of data.
Can anybody who has experience working with intraday ticker data please confirm or correct my reasoning.
## Answer by madilyn (score 3, accepted)
https://quant.stackexchange.com/a/28451
> But I am confused about what high/low and open/last mean?
- The high (low) is the highest (lowest) trade price that occurred within the minute.
- The open price is the price of the first trade that occurred within the minute.
- The close price, also known as the last price, is the price of the last trade that occurred within the minute.
The concept of open-high-low-close is also mutually motivated by the use of candlestick charts, thus giving rise to the term "OHLC chart".
There's probably two other things that you may not realize yet until you start looking at such time series in an illiquid product or try to implement it in code:
- By definition, the time doesn't have to print if no trade took place within the minute.
- By construction, we use only trades in the half-open interval $[t, t+1)$, since the intervals must be disjoint.Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.