Converting Bid/Ask to OHLC - which do I need?
I downloaded DukasCopy tick data.. which is presented in bid/ask/bid volume/ask volume. When I use pandas to create OHLC, it creates both ask OHLC and bid OHLC. So I first have to "groupby", but not sure which to use..
Am I supposed to avg the two? IF so, which volume do i use?
For the bid/ask you could convert that to be the mid-price.
For the volume, assuming they are tick volumes, I guess the difference is just capturing the spread widening / coming together. Tick volume only captures the movement in the price. Again an average might be a good option.
@ThatBlokeDave Thank you. Will give it a try