Hi,
My understanding is that the futures candlestick data from your API is based on trade data. Could you also add OHLC data for the best bid and ask prices?
The problem is that when you develop trading systems at a higher frequency, you might start to see spurious correlation in the data due to the bid-ask bounce (see Investopedia for an explanation of “bid-ask bounce”).
If we had bid and ask prices, we could calculate price proxies (e.g., mid price) that are better suited for algorithm development.
Thank you!
Hi. Thanks for the feedback. Can you give out more info about the expectation on OHLC data?
Currently the best bid/ask prices are generated in real-time. That is, whenever there is a price better than the previous best price, it becomes the current best price. The timestamp represents the update time. If we have OHLC prices attached, it’s the closing price is always the latest best price. Will this be informative? Did I understand your enquiry correctly?
I think he means that we want to have the option to get Kline data in BID or ASK or average.