Aggregation definition
State whether open, high, low and close are calculated from trades, bid quotes, ask quotes or midpoint observations. Use a defined interval boundary and record whether the closing value belongs to a final or still-forming bar.
Market data · deployment planning
OHLC Market Data API
An OHLC series needs a reproducible aggregation rule: interval, price basis and treatment of empty periods.
Data quality
Validate that high and low enclose the selected observations and that interval ordering is stable. Do not infer volume from quote counts; identify whether a volume field represents traded size, tick activity or unavailable information.
Requirements to confirm
- Aggregation price basis
- Interval boundary convention
- Final-bar status
- Volume field definition
Bring the proposed instrument list, source documentation and consumer workflow to a technical discussion. The agreed integration specification defines coverage, fields, usage permissions and acceptance tests.
Integration brief
OHLC Market Data API: what to agree before connecting
| Dataset definition | Confirm raw ticks, bid/ask events, trades or OHLC bars and the source instrument. |
|---|---|
| Time and ordering | Define UTC boundaries, timestamp precision, sequence ordering and duplicate policy. |
| Quality and gaps | Document missing intervals, corrections and any backfill or normalization applied. |
| Export and retention | Agree format, pagination, permitted storage and the consumers allowed to use the dataset. |
Keep history traceable to its source
Historical data for your instrument universe needs an instrument definition and provenance. Tick history, aggregated bars and replay events are different outputs. Record which prices form each bar, how gaps are represented and whether corrections can change an earlier result.
What to test
- Replay a known interval and compare event order and instrument identity.
- Inspect a quiet interval and a deliberately missing interval separately.
- Verify candle boundaries or replay timing against the documented rule.
{
"type": "quote",
"symbol": "EURUSD",
"bid": "1.10000",
"ask": "1.10010",
"source_time": "2026-10-18T12:00:00.000Z",
"received_at": "2026-10-18T12:00:00.012Z",
"source_id": "example-source",
"status": "illustrative"
}Illustrative engineering example, not live prices or a published API contract. Confirm field names and delivery rules during integration.