Need reproducible OHLCV bars from raw ticks? Our Forex Bar Generator converts validated tick streams into deterministic, UTC-aligned bars from M1 to D1—with explicit, documented rules so your backtests, AI/SMC models, and execution research get stable, auditable inputs.
Why deterministic bars matter
- Reproducibility: Same inputs + same rules → identical outputs (bit-for-bit stable).
- UTC consistency: No DST drift; multi-venue merges stay aligned.
- Audit & governance: Transparent policies you can defend to compliance or clients.
- Research quality: Lower label leakage and reduced backtest variance.
How it works
- Validated ticks in: We take your QC’d tick files (CSV/Parquet), already deduplicated, strictly ordered, weekend-filtered, spread/outlier-checked.
- Session filters: Optional trading-session windows (e.g., exclude weekend/off-session prints).
- Rule-driven builder: Explicit open/high/low/close/volume rules with reproducible rounding and missing-data policy.
- Deterministic output: Bars written as partitioned CSV/Parquet with manifests and checksums.
Configuration options
- Frequencies: M1, M5, M15, M30, H1, H4, D1 (others on request).
- Price source: Bid, Ask, Mid (documented and consistent per dataset).
- Rounding policy: Fixed decimals or symbol-aware pip precision.
- Volume model: Tick count, custom proxies, or venue-tag aware aggregation.
- Gaps & holidays: Mark/forward-fill policies are explicit and logged.
Key metrics (example)
| Metric | Value | Notes |
|---|---|---|
Bars generated (M1) |
1440 / day / symbol | Session-aware (weekend/off-session excluded if configured) |
Null / empty intervals |
0 | Explicit policy for missing ticks; documented in the bar policy |
Rounding policy |
Symbol-aware | e.g., 5-digit EURUSD; identical inputs → identical rounded outputs |
Integrity |
SHA-256 + manifest | Per-file checksums + manifest for audits and reproducibility |
Deliverables
- OHLCV bars (CSV or Parquet), partitioned by
YYYY/MM/DDor frequency. - Manifest + checksums: Per-file SHA-256 for integrity and audits.
- Bar policy doc: One-pager with all rules (price source, rounding, sessions, gaps).
Who uses this
- Prop & quant teams: reproducible bars for walk-forward tests and live-sim parity.
- AI/SMC pipelines: stable features across retrains, no silent drift.
- Vendors & funds: audit-grade datasets for client delivery.
FAQ
Can you generate from raw (non-QC) ticks?
We recommend QC first. If needed, we can run our Tick Data QC and then Bar Generator for a fully controlled pipeline.
Do you support mid-price bars?
Yes — Bid, Ask, or Mid is selectable and fixed for the entire dataset (documented in the policy).
How do you handle missing ticks within an interval?
Policy is explicit (e.g., no bar vs. marked bar with forward-fill). We document the choice and keep it deterministic.
What file formats do you deliver?
CSV and Parquet. We also include a manifest with SHA-256 checksums for integrity and audit trails.
Try it with your data
Send a sample day of ticks; we’ll return M1–D1 bars + manifest + policy doc so you can validate stability and downstream impact.