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Introducing
Trade ticks not matching Aggregates
Sep 6, 2019
Quite often we get support emails where a user is trying to calculate aggregates from the raw trade data. When doing so, the data does not seem to match up.
This is because aggregates ( OHLCV ) are a little more complex to calculate than just min,max,etc. There are condition matrix tables you must adhere to in the CTA and UTP specifications.
You can find our API aggregate condition mappings here.
For more information, the CTA and UTP documentation is below:
For CTA, See page 62:
https://www.ctaplan.com/publicdocs/ctaplan/notifications/trader-update/CTS_BINARY_OUTPUT_SPECIFICATION.pdf
For UTP, See page 43:
http://utpplan.com/DOC/UtpBinaryOutputSpec.pdf
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Quinton Pike
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