Reconstructing Bid and Last Tick Paths from Bar Data
Summary
This installment describes extending a market replay system to simulate both Bid-based and Last-based tick paths from one-minute bars. It organizes shared price marks and tick counts in a common structure, then separates the mode-specific simulation logic while reusing common routines for setting prices, including bar open, high, low, and close. A viability check estimates whether the available tick count can support a randomized walk across the required price range. When feasible, the system can use a random-walk method; it also distributes real volume across generated ticks, assigning each tick a baseline amount and spreading the remainder randomly.
The article discusses a least-effort path choice when movement capacity is limited and compares a generated chart with one based on real tick data. The visual comparison is illustrative rather than a statistical accuracy assessment, and the article acknowledges that simulated paths differ from actual ticks. The method supports replay and testing where full tick histories are unavailable, but conclusions depend on its randomization assumptions and bar-level inputs.
Key ideas
- The replay system shares price-mounting and bar-extreme logic between Bid and Last simulation modes.
- A viability check compares the bar’s price range with available tick volume before selecting a random walk.
- Generated real volume is distributed across simulated ticks to avoid concentrating all volume in one point.
- A least-effort path can guide direction when available movements constrain the route.
- Chart comparison with real ticks is illustrative and does not establish statistical fidelity.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.