OHLCV Data Explained: Bars, Volume, and Intervals
How bars are constructed, why providers disagree, and which validation rules catch unusable history.
OHLCV data summarizes trades during a defined interval: open is the first eligible price, high and low are the extremes, close is the last, and volume is the reported quantity. Every bar also needs symbol identity, interval boundaries, timezone, session scope, source, adjustment view, and coverage status to be interpreted correctly.
A bar is a construction rule
One-minute, hourly, and daily bars depend on which trades are eligible, how timestamps label the interval, and whether premarket or after-hours activity is included. Different rules can produce different OHLCV values from valid underlying data.
Document interval start/end convention, exchange timezone, regular versus extended hours, and consolidation scope before comparing sources.
Validate price and volume together
For ordinary bars, high should not fall below open, close, or low, and low should not exceed them. Volume should be nonnegative and aligned to the same symbol and interval.
These rules find corrupted rows but not every error. Compare expected sessions, duplicates, extreme moves, action dates, halts, and samples against raw evidence.
- Stable symbol and interval key
- Explicit session and timezone
- Raw or adjusted price policy
- Source scope for volume
- Coverage classification
Use bars without inventing fills
A bar does not reveal the sequence of prices inside the interval or guarantee that an order could fill at the high, low, or close. Strategies using intrabar stops or limits need finer data or conservative ordering assumptions.
Keep execution modeling separate from the observation table. DataCedar serves the bar and provenance; the backtest records its own fill rule and costs.
How DataCedar preserves the evidence
DataCedar separates acquisition from serving. Permitted source responses are retained with retrieval time and identifiers, normalized into DataCedar-owned tables, checked against expected coverage, and exposed through a stable versioned API. A collector can be replaced without changing the customer contract or making an upstream provider a runtime dependency.
Every research stream carries effective and known-at time where the distinction matters. Rights-restricted, unavailable, partial, stale, and genuinely empty states remain visible, so a backtest can fail closed and a buyer can see the product boundary before committing engineering time.
Key takeaways
- 01OHLCV values depend on bar construction.
- 02State interval, session, timezone, and source scope.
- 03Validate coverage and corporate actions.
- 04Do not infer intrabar sequence from one bar.
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