I have a stream of bid/ask market data and a stream of executed trades.
Quick question, as not too sure how to best approach this. To draw an OHLC chart, would I:
a) Base calculation entirely on observed bid prices over a time period (highest bid, lowest bid, and last bid during that period)
b) Base calculation entirely on observed ask prices over a time period
c) Base the OHLC chart on executed trades at price x doing the time period?
I have also seen someone on a metatrader forum mention off the cuff that:
Open: (bid + ask) / 2
High: highest bid
Low: lowest offer
Close: (bid + ask) / 2
So wondering which of all these it is?