Simulating Random Tick Paths Within One-Minute Bars

Summary

This installment describes a basic method for creating synthetic tick data from one-minute OHLC and volume records. It spaces simulated ticks across the minute, assigns each a starting volume, distributes remaining volume randomly across ticks, and generates intermediate prices within the bar’s high-low range. The opening and closing ticks retain the bar’s open and close, while the method also inserts ticks at the recorded low and high. The article explains how bounded random values support those assignments and how exported tick data can be inspected in a spreadsheet or plotted in a trading platform.

The approach aims to make replay data look less mechanical than a simple zigzag path, and introduces random-walk movement as a basis for further development. It is an early, deliberately simple simulator: tick timing is evenly spaced, intermediate prices and added volume are randomized, and the author says the model still needs refinement to ensure all points are visited. Readers are advised to compare its generated paths across asset types; visual resemblance to market activity does not establish that the simulated sequence reproduces real market behavior.

Key ideas

• Ticks can be distributed across a one-minute bar using evenly spaced timestamps.
• Random selection assigns intermediate prices within the bar’s low and high.
• The method spreads volume left over after giving every simulated tick a base amount.
• The bar’s open, close, low and high are explicitly represented in the generated path.
• The author presents this as an initial random-walk simulator that needs further refinement and asset-specific review.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.