Building OHLCV Bars From Trades: Choices That Change Results
Candles look like a neutral summary of price. Every bar is actually the output of several decisions, and each one can move a backtest.
Open, high, low, close, and volume bars are the most common format for price data. They are also more subjective than they appear. Two correctly built one-minute bars from the same venue can disagree if they were constructed with different conventions.
Decisions inside every bar
- Which clock defines the bar: exchange time or receive time.
- Whether the bar interval is closed on the left or the right.
- How empty intervals are handled — omitted, or filled forward from the last close.
- Which trades are excluded: outliers, cancelled prints, or off-book trades.
- Whether high and low use trades only, or also quotes.
A single erroneous print can set a bar’s high or low far from any price at which meaningful size traded. Strategies that trigger on highs and lows — stops, breakouts — are especially exposed to such artifacts.
The goal is not that one convention is universally correct, but that every convention is stated. When the rules are documented, a disagreement between two data sources becomes something that can be diagnosed.
This publication is provided for informational purposes only and does not constitute investment, legal, or tax advice, or an offer or solicitation to buy or sell any asset. Live figures are computed from third-party public market data and may be delayed, incomplete, or inaccurate.
