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Bid-Ask Data to OHLC


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  • This is a great example. Tyhanks for sharing. How would one goes about adding he number of Ticks that were aggregated in a bar (e.g Tickcount), Is it just a matter of creating a Volume column =1 at tick level? What should I do however if I also have Volume in my data and I want to have both information (for instance to get the average volume per Bid in a bar)?