How should the first tick be treated? - briefly
Treat the first tick as the baseline of the series, counting it as part of the data set rather than discarding it. Subsequent intervals are measured relative to this initial point.
How should the first tick be treated? - in detail
The initial price movement, often called the opening tick, establishes the reference point for all subsequent calculations. Its handling influences order execution, risk assessment, and performance metrics, so a precise protocol is essential.
- Classification – Record the first tick as a baseline event distinct from regular price updates. Tag it with a flag (e.g., “OPEN”) to separate it from intra‑session ticks.
- Timestamp precision – Store the exact time of occurrence with sub‑second resolution. Accurate timestamps enable correct sequencing when multiple data streams converge.
- Price assignment – Treat the opening price as a fixed anchor for the session. Do not adjust it for later corrections; instead, apply any required offsets to subsequent ticks.
- Volume handling – Aggregate all trades executed at the opening price into a single volume figure. This prevents the inflation of trade counts that would distort liquidity measures.
- Spread calculation – Use the opening price as the denominator when computing bid‑ask spreads for the first interval. Avoid averaging with later prices, which would misrepresent initial market depth.
- Statistical treatment – Exclude the first tick from volatility calculations that assume a stationary series. Its uniqueness can skew standard deviation and other dispersion metrics.
- Error detection – Implement sanity checks to verify that the opening tick falls within expected bounds (e.g., within a pre‑defined percentage of the previous session’s close). Flag outliers for manual review.
- Reporting – In summary tables, present the opening price separately from the high, low, and close values. This clarifies its role as a reference rather than a range extreme.
By following these guidelines, systems treat the first price change consistently, preserving data integrity and supporting reliable downstream analysis.