OHLCV Tick Data Overview

Open, High, Low, Close Prices and Volume indicators (OHLCV) are generated for Session Start (7:00 AM EST) to Session End (8:00 PM EST) at a certain Tick Period. The OHLCV indicators are generated:

For both buy and sell sides of the book
For both buy and sell displayed order executions (regular trades)
For both buy and sell non-displayed order executions (hidden trades)

For each buy-side indicator, there is a sell-side indicator.

OHLCV File Format

The OHLCV files are in the character-separated-value (CSV) text format, with columns separated by comma ",". The first row is always the header row. An empty line is added at the end of the table to indicate the end of file.

Column	Value	Description
Tick	Timestamp	Timestamp of the end of the tick period in the HH:MM:SS format
Top-Of-The-Book Prices
Bid.PriceOpen Ask.PriceOpen	Price	Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) at the beginning of the tick period
Bid.PriceHigh Ask.PriceHigh	Price	The highest Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) during the tick period
Bid.PriceLow Ask.PriceLow	Price	The lowest Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) during the tick period
Bid.PriceClose Ask.PriceClose	Price	Bid Price (for buy-side of the book) or Ask Price (for sell-side of the book) at the end of the tick period
Traded Volume
Bid.Volume Ask.Volume	Number of shares	Total volume of executed orders during the tick period for buy and sell sides of the book
Bid.NVolume Ask.NVolume	Number of shares	Total volume of executed non-displayed orders during the tick period for buy and sell sides of the book
Traded Volume Prices (Displayed Orders)
Bid.Volume.PriceOpen Ask.Volume.PriceOpen	Price	The last price of buy-side (Bid) or sell-side (Ask) displayed orders traded as of the beginning of the tick period
Bid.Volume.PriceHigh Ask.Volume.PriceHigh	Price	The highest price of buy-side (Bid) or sell-side (Ask) displayed orders traded during the tick period
Bid.Volume.PriceLow Ask.Volume.PriceLow	Price	The lowest price of buy-side (Bid) or sell-side (Ask) displayed orders traded during the tick period
Bid.Volume.PriceClose Ask.Volume.PriceClose	Price	The last price of buy-side (Bid) or sell-side (Ask) displayed orders traded at the end of the tick period
Bid.Volume.PriceAvg Ask.Volume.PriceAvg	Price	The volume-weighted average price of buy-side (Bid) or sell-side (Ask) displayed orders traded during the tick period. If there were no orders traded during this tick period (Volume = 0), the value is set to zero.
Traded Volume Prices (Non-Displayed Orders)
Bid.NVolume.PriceOpen Ask.NVolume.PriceOpen	Price	The last price of buy-side (Bid) or sell-side (Ask) non-displayed orders traded as of the beginning of the tick period
Bid.NVolume.PriceHigh Ask.NVolume.PriceHigh	Price	The highest price of buy-side (Bid) or sell-side (Ask) non-displayed orders traded during the tick period
Bid.NVolume.PriceLow Ask.NVolume.PriceLow	Price	The lowest price of buy-side (Bid) or sell-side (Ask) non-displayed orders traded during the tick period
Bid.NVolume.PriceClose Ask.NVolume.PriceClose	Price	The last price of buy-side (Bid) or sell-side (Ask) non-displayed orders traded at the end of the tick period
Bid.NVolume.PriceAvg Ask.NVolume.PriceAvg	Price	The volume-weighted average price of buy-side (Bid) or sell-side (Ask) non-displayed orders traded during the tick period. If there were no orders traded during this tick period (NVolume = 0), the value is set to zero.

Relation To Indicators

OHLCV data sets are just user-friendly names for a selection of the most popular Market Indicators. The table below establishes the relationship between OHLCV and Market Indicators.

OHLCV Indicator	Equals	Market Indicator
Bid.PriceOpen	=	MarketIndicator.Buy.Outstanding.PriceOpen
Ask.PriceOpen	=	MarketIndicator.Sell.Outstanding.PriceOpen
Bid.PriceHigh	=	MarketIndicator.Buy.Outstanding.PriceHigh
Ask.PriceHigh	=	MarketIndicator.Sell.Outstanding.PriceHigh
Bid.PriceLow	=	MarketIndicator.Buy.Outstanding.PriceLow
Ask.PriceLow	=	MarketIndicator.Sell.Outstanding.PriceLow
Bid.PriceClose	=	MarketIndicator.Buy.Outstanding.PriceClose
Ask.PriceClose	=	MarketIndicator.Sell.Outstanding.PriceClose
Bid.Volume	=	MarketIndicator.Buy.Executed.VolumeA
Ask.Volume	=	MarketIndicator.Sell.Executed.VolumeA
Bid.NVolume	=	MarketIndicator.Buy.Executed.NVolumeA
Ask.NVolume	=	MarketIndicator.Sell.Executed.NVolumeA
Bid.Volume.PriceOpen	=	MarketIndicator.Buy.Executed.PriceOpen
Ask.Volume.PriceOpen	=	MarketIndicator.Sell.Executed.PriceOpen
Bid.Volume.PriceHigh	=	MarketIndicator.Buy.Executed.PriceHigh
Ask.Volume.PriceHigh	=	MarketIndicator.Sell.Executed.PriceHigh
Bid.Volume.PriceLow	=	MarketIndicator.Buy.Executed.PriceLow
Ask.Volume.PriceLow	=	MarketIndicator.Sell.Executed.PriceLow
Bid.Volume.PriceClose	=	MarketIndicator.Buy.Executed.PriceClose
Ask.Volume.PriceClose	=	MarketIndicator.Sell.Executed.PriceClose
Bid.Volume.PriceAvg	=	MarketIndicator.Buy.Executed.PriceAvg
Ask.Volume.PriceAvg	=	MarketIndicator.Sell.Executed.PriceAvg
Bid.NVolume.PriceOpen	=	MarketIndicator.Buy.Executed.NPriceOpen
Ask.NVolume.PriceOpen	=	MarketIndicator.Sell.Executed.NPriceOpen
Bid.NVolume.PriceHigh	=	MarketIndicator.Buy.Executed.NPriceHigh
Ask.NVolume.PriceHigh	=	MarketIndicator.Sell.Executed.NPriceHigh
Bid.NVolume.PriceLow	=	MarketIndicator.Buy.Executed.NPriceLow
Ask.NVolume.PriceLow	=	MarketIndicator.Sell.Executed.NPriceLow
Bid.NVolume.PriceClose	=	MarketIndicator.Buy.Executed.NPriceClose
Ask.NVolume.PriceClose	=	MarketIndicator.Sell.Executed.NPriceClose
Bid.NVolume.PriceAvg	=	MarketIndicator.Buy.Executed.NPriceAvg
Ask.NVolume.PriceAvg	=	MarketIndicator.Sell.Executed.NPriceAvg

OHLCV Calculation Algorithm

All fields are initialized to zero at the beginning of the session
At the beginning of the new tick period, the Open, High, and Low Prices are set to the previous tick period's Close price. The Low and High Prices will be updated throughout the tick period to reflect the minimum or maximum price within this period, correspondingly.
If the buy or sell side of the book becomes empty at the end of the tick period, the Top-Of-The-Book Close Price (i.e. Bid.PriceClose or Ask.PriceClose) becomes zero
If either side of the book becomes empty inside of the tick period (i.e. after the tick period start and before the tick period end), it has no effect on any top-of-the-book prices (Open, Low, High, and Close Prices will not be zero'ed).

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