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    Bid-Ask Data to OHLC

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      backtrader administrators last edited by

      Use the link below to go the original post

      Click here to see the full blog post

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        Olivier Van Parys last edited by

        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)?

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