Market Data Bar Generation

Transform Raw Market Data into Trading Intelligence

CloudQuant's bar generation technology converts billions of raw exchange records into comprehensive, analysis-ready datasets. We process complex market data feeds and deliver clean, quantitative metrics optimized for institutional trading and research.

Beyond Standard OHLCV
While traditional bar data provides only Open, High, Low, Close, and Volume, CloudQuant generates over 80 advanced metrics per aggregation period.

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Volume Analysis

Volume-weighted average price (VWAP) and derivatives
Buy/sell volume breakdown with retail classification
Odd lot and block trade volumes
Off-exchange trading metrics

Market Microstructure

Bid/ask spreads and market depth
Price improvement and payup calculations
Opening and closing quote snapshots
Trade initiator identification (buyer vs. seller)

Trading Dynamics

Trade count segmentation (retail, odd lot, mid-price)
Net buy/sell ratios across volume, value, and trade count
Price volatility and volume-weighted volatility
Trade value analytics

Exchange Intelligence

Off-exchange volume and value percentages
Retail participation metrics
Price movement frequency indicators

Key Advantages

Computational Efficiency

Pre-calculated metrics eliminate redundant processing. Access minute-bar summaries instead of processing billions of individual ticks.

Universal Availability

Standardized calculations ensure consistent analytics across all users. Build higher timeframe bars (hourly, daily, weekly) directly from minute data.

Unified Architecture

Identical processing for both historical analysis and live streaming. Switch between batch and real-time with a single parameter change.

SQL Interface

Query market data using ANSI SQL. Join datasets seamlessly for multi-dimensional analysis.

Institutional Quality

Exchange-specific filtering removes late trades, anomalies, and distorting block deals. Timestamp reordering ensures chronological accuracy.