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Aggregate bars (OHLCV)

Aggregate bars (OHLCV) provide open, high, low, and close prices and total volume aggregated from trades at 1-second, 1-minute, 1-hour, or 1-day intervals.

Databento adopts the following convention for OHLCV:

  • The time interval is indicated by the schema ID's suffix: -1s for 1-second, -1m for 1-minute, -1h for 1-hour, and -1d for 1-day.
  • The ts_event timestamp marks the start of each interval.
  • If no trade occurs within the interval, no record is printed.

Fields (ohlcv-1s, ohlcv-1m, ohlcv-1h, ohlcv-1d)

Field Type Description
ts_event uint64_t The inclusive start time of the bar aggregation period based on the ts_recv from trade messages expressed as the number of nanoseconds since the UNIX epoch.
rtype uint8_t A sentinel value indicating the record type. Can be 32 (OHLCV-1s), 33 (OHLCV-1m), 34 (OHLCV-1h), or 35 (OHLCV-1d). See Rtype.
publisher_id uint16_t The publisher ID assigned by Databento, which denotes the dataset and venue. See Publishers.
instrument_id uint32_t The numeric instrument ID. See Instrument identifiers.
open int64_t The open price for the bar where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
high int64_t The high price for the bar where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
low int64_t The low price for the bar where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
close int64_t The close price for the bar where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
volume uint64_t The total volume traded during the aggregation period.

Other sampling intervals

If you need other sampling intervals, we recommend that you construct OHLCV aggregates from trades data or subsample the OHLCV schema with the nearest resolution on client side. For example, if you need 5-minute OHLCV aggregates, you can subsample this from ohlcv-1m.

Best practices

It's recommended that you construct OHLCV aggregates yourself from trades data if your application can handle the larger volume of data. There will always be slight implementation differences in how a vendor constructs their OHLCV aggregates. These differences include how trade conditions and retroactive trade breaks are handled, which timestamp is used for the event, and how precisely a vendor closes or publishes the aggregate bar after the end of the interval. Daily OHLCV aggregates may also differ by whether best bid or offer prices are used to compute the highs and lows, and whether the volumes should include block trades.

Constructing OHLCV aggregates yourself ensures additional transparency into how the aggregates are computed and consistency within your data.

Our ohlcv-1d schema is based on UTC dates. If you are interested in daily data based on exchange session hours, you may need to request data for a more granular OHLCV schema and aggregate the data yourself.

See also
See also

ohlcv-1d is based entirely on prices and volumes from the electronic trading session and will be consistent with prices and volumes observed from aggregating our trades data. However, this may differ from official settlement prices and volumes published by the venue, which could include block trades, OTC transactions, and other effects. For official settlement data and more details about this, see our statistics schema.

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