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Candle types

This document presents information about different types of aggregations provided by dxFeed Charting Service. In the sections below you can find the overall description of aggregates, possible configuration parameters and examples.

Candle type By time By price movement Other What parameters should be added? Description

Time-based candles

+

Define the time period which should be used for ticks aggregation: =12s

A graph where every candle includes ticks from the pre-defined time interval. In general, traders may use it to define possible price movements based on earlier patterns.

Tick-based candles

Number of ticks

Define number of ticks to be included in the candle: =10t

A graph where every candle has a pre-defined number of ticks. The graph can be used by traders to see how volatile the market was.

Volume-based candles

Volume of ticks

Define volume to be included in the candle: =100v

A graph where every candle has a pre-defined volume. The graph can help to identify more precise patterns in the price movement as opposed to time-based candles.

Price-based candles

+

Define the price change: =0.1p

The graph helps users to smooth the insignificant price changes and identify the trend more clearly because a new candle will be built only after the defined price movement happens. The difference with Renko candles is that Price-based candles are accumulated based on individual ticks. Renko candles are built based on close prices of minute candles.

Price Level candles (market by price candles)

+

+

Define the aggregate and the prices level to split the aggregate: =m, pl = 0.1

A graph where the pre-defined aggregate is split into the defined price slices. It can be imagined as a time-based candles where every candle is used to build price-based candles. This data presentation helps to see on which price level the maximum liquidity was accumulated inside the fixed time interval.

Price Momentum candles

+

Define the price change: =0.1pm

The graph allows to see the smoothed price movements and identify trends. It is more comprehensive as opposed to price-based candles because it takes into account not only price change but also the possible tick size of the instrument that makes it more close to the possible price movements on the market.

Renko candles

Partially

+

Define the size of the Renko box: =0.1pr

A Renko candle is formed only if the closing prices on the chosen chart time frame moves at the pre-defined value (box size). It does not rely on time, so any candle can include price points from random time intervals. In general, every new block is position at a 45-degree angle (up or down) to the prior block. Renko charts are designed to filter out minor price movements to make it easier for traders to focus on important trends.

Option expiration candles

Partially

Define option specific aggregation and how many intervals to include (3 in the example below): =3o

The graph helps to analyze the option price trends which can be noticed when one option is rolling to the other. Options prices are aggregated in the time intervals according to the type of option itself, so you do not need to care about the selection of the proper time interval: for weekly options - the aggregate will be a week, for standard options - starting from the 3rd Friday of the previous month to the 3rd Friday in the current month, etc.



Historical candle data availability

Depth available by default (both limits listed in the table apply to data sets, counting backward from the current time):

Aggregations Depth available (calendar days) Maximum number of candles at a time

1 tick

5 days

1000

2+ ticks

5 days

8000

1+ seconds

5 days

8000

1 - 4 minutes

43 days

8000

5+ minutes

90 days

8000

1+ hour

285 days

8000

Days, weeks, months

All available period

8000

Price

5 days

8000

Price level

5 days

8000

Volume

5 days

8000

Renko

120 days

1000

Other aggregates

2 days

8000


Parameters that are applicable for all types of candles

To define the price type to be used for aggregation in 12 seconds candles, set the corresponding parameters:

  • bid price → AAPL{=12s, price=bid}

  • ask price → AAPL{=12s, price=ask}

  • mark price → AAPL{=12s, price=mark}

To align the start of the candle with the start of the regular trading session, set the alignment parameter:

  • AAPL{=12s, a=s} → the candle will start at 9:30

  • AAPL{=12s} → the candle will start at 9:00

To aggregate only information from a regular trading session, set the trading session parameter:

  • AAPL{=12s, tho=true} → only candles from regular trading session are shown.

Time-based candles

To define the time period, set the corresponding parameters:

  • 2 years → AAPL{=2y}

  • 5 months → AAPL{=5mo}

  • 5 days → AAPL{=5d}

  • 3 weeks → AAPL{=3w}

  • 7 hours → AAPL{=7h}

  • 23 minutes → AAPL{=23m}

  • 12 seconds → AAPL{=12s}

Tick-based candles

To receive Tick candles, specify the number of ticks of the symbol to be included in every candle. For example, AAPL{=10t} will return candles with exact 10 ticks of AAPL each.

Example

If input ticks are:

Time Volume Price

20191224 - 100130-500

1

56.5

20191224 - 100233-500

2

56.55

20191224 - 101020-500

1

56.65

20191224 - 120125-500

2

56.52


Then Tick candles with 3 ticks each are:

Time Count Volume Open High Low Close

20191224 - 100130-500

3

4

56.5

56.65

56.5

56.65

20191224 - 120125-500

1

2

56.52

56.52

56.52

56.52


Volume-based candles

To receive Volume candles, specify the volume to be aggregated in every candle. For example, AAPL{=10v} will return candles with exact 10 AAPL stocks each.

Info

The same tick can be included into 2 different candles in case its volume can not fit in 1 candle.

Example

If input ticks are:

Candle EventSymbol EventTime Time Sequence Count Open High Low Close Volume

Candle

AAPL

20200106-040059.645-0500

20200106-040059-0500

645:74

1

294.2

294.2

294.2

294.2

200

Candle

AAPL

20200106-040108.045-0500

20200106-040108-0500

45:83

1

294.2

294.2

294.2

294.2

183

Candle

AAPL

20200106-040200.774-0500

20200106-040200-0500

774:111

1

294.78

294.78

294.78

294.78

200

Candle

AAPL

20200106-040213.373-0500

20200106-040213-0500

373:119

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040531.686-0500

20200106-040531-0500

686:182

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040531.942-0500

20200106-040531-0500

942:184

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040552.206-0500

20200106-040552-0500

206:186

1

294.95

294.95

294.95

294.95

100

Candle

AAPL

20200106-040552.206-0500

20200106-040552-0500

206:188

1

294.95

294.95

294.95

294.95

200

Candle

AAPL

20200106-040620.628-0500

20200106-040620-0500

628:190

1

294.72

294.72

294.72

294.72

147

Candle

AAPL

20200106-040621.029-0500

20200106-040621-0500

29:198

1

295

295

295

295

152

Candle

AAPL

20200106-040626.228-0500

20200106-040626-0500

228:200

1

295

295

295

295

100

Candle

AAPL

20200106-040626.593-0500

20200106-040626-0500

593:202

1

295

295

295

295

100


tick

Then Volume candles with 300 stock volume are:

Candle EventSymbol EventTime Time Sequence Count Open High Low Close Volume

Candle

AAPL{=300v}

20200106-040059.645-0500

20200106-040059-0500

645:74

2

294.2

294.2

294.2

294.2

300

Candle

AAPL{=300v}

20200106-040108.045-0500

20200106-040108-0500

45:83

3

294.2

294.78

294.2

294.77

300

Candle

AAPL{=300v}

20200106-040213.373-0500

20200106-040213-0500

373:119

4

294.77

294.95

294.77

294.95

300

Candle

AAPL{=300v}

20200106-040552.206-0500

20200106-040552-0500

206:186

3

294.95

294.95

294.72

294.72

300

Candle

AAPL{=300v}

20200106-040620.628-0500

20200106-040620-0500

628:190

3

294.72

295

294.72

295

300

Candle

AAPL{=300v}

20200106-040626.228-0500

20200106-040626-0500

228:200

3

295

295

294.86

294.86

300


volume

Price-based candles

To receive Price-based candles a user should add to the symbol the respective price change parameter {=0.1p}, ex. AAPL{=0.1p}, where 0.1 is a price change defined the by the user.

Info

If price moves several times more than defined price change, then dxFeed Charting application adds dummy candles with NaN volume and zero count that helps users to plot the chart easier. dxFeed Charting application builds the price candles based on individual ticks

Example

If input ticks are:

Candle EventSymbol EventTime Time Sequence Count Open High Low Close Volume

Candle

AAPL

20200106-040059.645-0500

20200106-040059-0500

645:74

1

294.2

294.2

294.2

294.2

200

Candle

AAPL

20200106-040108.045-0500

20200106-040108-0500

45:83

1

294.2

294.2

294.2

294.2

183

Candle

AAPL

20200106-040200.774-0500

20200106-040200-0500

774:111

1

294.78

294.78

294.78

294.78

200

Candle

AAPL

20200106-040213.373-0500

20200106-040213-0500

373:119

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040531.686-0500

20200106-040531-0500

686:182

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040531.942-0500

20200106-040531-0500

942:184

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040552.206-0500

20200106-040552-0500

206:186

1

294.95

294.95

294.95

294.95

100

Candle

AAPL

20200106-040552.206-0500

20200106-040552-0500

206:188

1

294.95

294.95

294.95

294.95

200

Candle

AAPL

20200106-040620.628-0500

20200106-040620-0500

628:190

1

294.72

294.72

294.72

294.72

147

Candle

AAPL

20200106-040621.029-0500

20200106-040621-0500

29:198

1

295

295

295

295

152

Candle

AAPL

20200106-040626.228-0500

20200106-040626-0500

228:200

1

295

295

295

295

100

Candle

AAPL

20200106-040626.593-0500

20200106-040626-0500

593:202

1

295

295

295

295

100


Then Price-based candles with 0.2 price change are:

Candle EventSymbol EventTime Time Sequence Count Open High Low Close Volume

Candle

AAPL{=0.2p}

20200106-040059.645-0500

20200106-040059-0500

645:74

2

294.2

294.4

294.2

294.4

383

Candle

AAPL{=0.2p}

20200106-040200.774-0500

20200106-040200-0500

774:111

0

294.4

294.6

294.4

294.6

NaN

Candle

AAPL{=0.2p}

20200106-040200.774-0500

20200106-040200-0500

774:112

4

294.6

294.8

294.6

294.8

500

Candle

AAPL{=0.2p}

20200106-040552.206-0500

20200106-040552-0500

206:186

2

294.8

294.95

294.75

294.75

300

Candle

AAPL{=0.2p}

20200106-040620.628-0500

20200106-040620-0500

628:190

1

294.75

294.92

294.72

294.92

147

Candle

AAPL{=0.2p}

20200106-040621.029-0500

20200106-040621-0500

29:198

5

294.92

295

294.8

294.8

704

Price Level candles

To receive Price level candles for 5 minute aggregates, add the price change parameter {=5m, pl=0.3} to the symbol, ex. AAPL{=5m, pl=0.03}, where 5m stands for 5 minute original aggregate and 0.3 is a price level which should be shown.

Info

dxFeed Charting application builds the price level candles based on individual ticks.

Example

If input ticks are:

Candle EventSymbol EventTime Time Sequence Count Open High Low Close Volume

Candle

AAPL

20200106-040200.774-0500

20200106-040200-0500

774:111

1

294.78

294.78

294.78

294.78

200

Candle

AAPL

20200106-040213.373-0500

20200106-040213-0500

373:119

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040531.686-0500

20200106-040531-0500

686:182

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040531.942-0500

20200106-040531-0500

942:184

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040552.206-0500

20200106-040552-0500

206:186

1

294.95

294.95

294.95

294.95

100

Candle

AAPL

20200106-040552.206-0500

20200106-040552-0500

206:188

1

294.95

294.95

294.95

294.95

200

Candle

AAPL

20200106-040620.628-0500

20200106-040620-0500

628:190

1

294.72

294.72

294.72

294.72

147

Candle

AAPL

20200106-040621.029-0500

20200106-040621-0500

29:198

1

295

295

295

295

152

Candle

AAPL

20200106-040626.228-0500

20200106-040626-0500

228:200

1

295

295

295

295

100

Candle

AAPL

20200106-040626.593-0500

20200106-040626-0500

593:202

1

295

295

295

295

100


Then Price level 2-minutes candles with 0.2 price change are:

Candle EventSymbol EventTime Time Sequence Count Open High Low Close Volume

Candle

AAPL{=2m,pl=0.2}

20200106-040200.000-0500

20200106-040200-0500

1

2

294.78

294.78

294.77

294.77

300

Candle

AAPL{=2m,pl=0.2}

20200106-040400.000-0500

20200106-040400-0500

1

2

294.77

294.77

294.77

294.77

200

Candle

AAPL{=2m,pl=0.2}

20200106-040400.000-0500

20200106-040400-0500

2

2

294.95

294.95

294.95

294.95

300

Candle

AAPL{=2m,pl=0.2}

20200106-040600.000-0500

20200106-040600-0500

1

1

294.72

294.72

294.72

294.72

147

Candle

AAPL{=2m,pl=0.2}

20200106-040600.000-0500

20200106-040600-0500

3

3

295

295

295

295

352

Candle

AAPL{=2m,pl=0.2}

20200106-040800.000-0500

20200106-040800-0500

2

2

294.86

294.97

294.86

294.97

352

Price Momentum candles

To receive price momentum candles, define the price movement which should be used for candle construction, ex. AAPL{=0.1pm}.

Info

If price moves are several times larger than defined price change, then dxFeed Charting application adds dummy candles with NaN volume and zero count that helps to plot the chart easier. dxFeed Charting application builds the price momentum candles based on individual ticks.

Example

If input ticks are:

Candle EventSymbol EventTime Time Sequence Count Open High Low Close Volume

Candle

AAPL

20200106-040200.774-0500

20200106-040200-0500

774:111

1

294.78

294.78

294.78

294.78

200

Candle

AAPL

20200106-040213.373-0500

20200106-040213-0500

373:119

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040531.686-0500

20200106-040531-0500

686:182

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040531.942-0500

20200106-040531-0500

942:184

1

294.77

294.77

294.77

294.77

100

Candle

AAPL

20200106-040552.206-0500

20200106-040552-0500

206:186

1

294.95

294.95

294.95

294.95

100

Candle

AAPL

20200106-040552.206-0500

20200106-040552-0500

206:188

1

294.95

294.95

294.95

294.95

200

Candle

AAPL

20200106-040620.628-0500

20200106-040620-0500

628:190

1

294.72

294.72

294.72

294.72

147

Candle

AAPL

20200106-040621.029-0500

20200106-040621-0500

29:198

1

295

295

295

295

152

Candle

AAPL

20200106-040626.228-0500

20200106-040626-0500

228:200

1

295

295

295

295

100

Candle

AAPL

20200106-040626.593-0500

20200106-040626-0500

593:202

1

295

295

295

295

100


Then Price momentum 2 minutes candles with 0.2 price change are:

Candle EventSymbol EventTime Time Sequence Count Open High Low Close Volume

Candle

AAPL{=0.2pm}

20200106-040059.645-0500

20200106-040059-0500

645:74

2

294.2

294.4

294.2

294.4

383

Candle

AAPL{=0.2pm}

20200106-040200.774-0500

20200106-040200-0500

774:111

0

294.41

294.61

294.41

294.61

NaN

Candle

AAPL{=0.2pm}

20200106-040200.774-0500

20200106-040200-0500

774:112

4

294.62

294.82

294.62

294.82

500

Candle

AAPL{=0.2pm}

20200106-040552.206-0500

20200106-040552-0500

206:186

2

294.83

294.95

294.75

294.75

300

Candle

AAPL{=0.2pm}

20200106-040620.628-0500

20200106-040620-0500

628:190

1

294.74

294.92

294.72

294.92

147

Candle

AAPL{=0.2pm}

20200106-040621.029-0500

20200106-040621-0500

29:198

5

294.93

295

294.8

294.8

704

momentum

Renko candles

To receive Renko candles, add {=0.1pr}, ex. AAPL{=0.1pr} to the symbol, where 0.1 is a preferred Renko box size.

Info

If price moves are larger than defined in the box size parameter, then dxFeed Charting application adds dummy candles with NaN volume and zero count that helps users to plot Ranko candles easier. dxFeed always builds Renko candles based on minute candles (this parameter is not configurable).

Example

If input minute candles are:

Candle EventSymbol EventTime Time Sequence Count Open High Low Close Volume

Candle

AAPL{=m}

20200106-040100.0000500

20200106-040100-0500

0

1

294.2

294.2

294.2

294.2

183

Candle

AAPL{=m}

20200106-040200.0000500

20200106-040200-0500

0

2

294.78

294.78

294.77

294.77

300

Candle

AAPL{=m}

20200106-040500.0000500

20200106-040500-0500

0

4

294.77

294.95

294.77

294.95

500

Candle

AAPL{=m}

20200106-040600.0000500

20200106-040600-0500

0

4

294.72

295

294.72

295

499


Then Renko candles are:

Candle EventSymbol EventTime Time Sequence Count Open High Low Close Volume

Candle

AAPL{=0.2pr}

20200106-040100.000-0500

20200106-040100-0500

0

1

294.2

294.4

294.2

294.4

183

Candle

AAPL{=0.2pr}

20200106-040200.000-0500

20200106-040200-0500

0

0

294.4

294.6

294.4

294.6

NaN

Candle

AAPL{=0.2pr}

20200106-040200.000-0500

20200106-040200-0500

1

1

294.6

294.8

294.6

294.8

300

Candle

AAPL{=0.2pr}

20200106-040500.000-0500

20200106-040500-0500

0

2

294.8

295

294.8

295

999

Option expiration candles

To receive option specific candles, define how many standard option periods should be aggregated together, ex. .AAPL200207C225{=2o} - 2 weeks will be aggregated together.

Info

Option-aggregated charts are build based on daily candles.

The standard intervals are defined the following way according to dxFeed reference data:

  • for daily options - interval is a day

  • for weekly options - interval is a week (from Monday to Sunday)

  • for monthly options - interval is a month from the 1st day to the last day of the month

  • for quarterly options - interval is a quarter from the 1st day of the quarter to the last day

  • for all other options - interval is a month which starts from the 3rd Saturday of the month and end at 3rd Friday of the next month

Example

If input ticks are:

Candle EventSymbol Time Sequence Count Open High Low Close Volume

Candle

.AAPL200207C280{=d}

20191226-010000+0100

0

8

15.34

16

15

16

117

Candle

.AAPL200207P280{=d}

20191226-010000+0100

0

10

6.45

6.7

6.3

6.45

28

Candle

.AAPL200207C280{=d}

20191227-010000+0100

0

5

18.6

19.8

16.77

16.77

20

Candle

.AAPL200207P280{=d}

20191227-010000+0100

0

30

5.85

6.95

5.35

6.73

52

Candle

.AAPL200207C280{=d}

20191230-010000+0100

0

6

14.77

18.35

14.6

18.35

17

Candle

.AAPL200207P280{=d}

20191230-010000+0100

0

31

7.3

8.04

5.85

6.15

65

Candle

.AAPL200207C280{=d}

20191231-010000+0100

0

1

18.18

18.18

18.18

18.18

1

Candle

.AAPL200207P280{=d}

20191231-010000+0100

0

16

6.22

6.22

5.59

5.6

28

Candle

.AAPL200207C280{=d}

20200102-010000+0100

0

5

20.55

24.15

20.55

24.15

31

Candle

.AAPL200207P280{=d}

20200102-010000+0100

0

36

4.64

4.74

4.1

4.1

120

Candle

.AAPL200207C280{=d}

20200103-010000+0100

0

9

24.2

24.29

22.5

22.5

23

Candle

.AAPL200207P280{=d}

20200103-010000+0100

0

33

4.2

4.7

4.1

4.43

65

Candle

.AAPL200207C280{=d}

20200106-010000+0100

0

7

20.35

23.33

20.35

23.33

78

Candle

.AAPL200207P280{=d}

20200106-010000+0100

0

46

5.5

5.95

3.65

3.65

222

Candle

.AAPL200207C280{=d}

20200107-010000+0100

0

5

23.35

23.55

23.13

23.13

11

Candle

.AAPL200207P280{=d}

20200107-010000+0100

0

26

3.45

4.07

3.35

3.5

101


Then option expiration candles for this set are:

Candle EventSymbol Time Sequence Count Open High Low Close Volume

Candle

.AAPL200207C280{=o}

20191223-010000+0100

0

13

15.34

19.8

15

16.77

137

Candle

.AAPL200207C280{=o}

20191230-010000+0100

0

21

14.77

24.29

14.6

22.5

72

Candle

.AAPL200207C280{=o}

20200106-010000+0100

0

12

20.35

23.55

20.35

23.13

89