Range Bar (RB)

A Range Bar chart is a non-time-based chart constructed of bars that indicate price movement as a way to help expose trends and volatility. A bar is created each time a trade occurs outside of the previous bar’s stated price range, which you set in preferences.

Range Bar charts can be used for regular symbols and their inversions but cannot be used for synthetic strategies and other complex expressions.

Range Bar charts can be used to measure the duration of a bar with:

•      trading systems, custom studies, and conditions;

•      MinSinceBarOp and SecSinceBarOp functions; and

•      Volume (Vol) study.

These charts are available through API and RTD.

Range Bar calculation

Range bars are calculated from ticks. The kind of ticks to be used in calculation shall be specified by BATS filter (bids and/or asks and/or trades).

Settlements shall be always ignored as they may affect last session bar (the similar is done for CVB, P&F and Tick charts).

The Range bars chart consists of bars that have high/low range equal or less than the Range preference value.

To calculate the first bar, we have to go backward in time to last starting point and build bars until the current time. Starting point can be: session open, start of trading week or start of trading month.

The following rules are used for range bar calculation:

•      When the bar’s High/Low range is equal/lesser than the Range preference value the bar remains incomplete.

•      When the price goes higher then Low + Range or lower than High – Range or another starting point has been reached just before the price then current bar is closed with its current High/Low values and Close equal to the previous price. The received price becomes the Open price of the new bar (in case of significant price move there could be price gaps between bars).

Range Bar example

Range = two

Range unit = tick

Range bars with range = 2 ticks. The first bar opened at 8351.5 (for the sake of simplicity, we just use first received quote as an open price, but in reality, we should wait for data calculated by the server and start by updating last uncompleted bar).

Then, we received quotes 8352.0, 8351.5, 8351.0. While price is in the [8351.0:8352.0] range (2 ticks), we do not close the first bar. Then we received 8350.5. It is out of the range. So, the first bar is closed at its low 8351.0 and a new bar is opened at 8350.5.

Once a received quote is out of [8350.5:8351.5] range, we start the next bar.

On new starting point we should start a new bar regardless of current bar OHLC values. First tick price after new starting point is used as an open price for a range bar. So, the price range of the last bar (bar before first bar created from next staring point) can be less than the specified range (2 ticks in our example).

Candlestick and line charts are calculated the same way. Both bar and candlestick charts display four outputs: open, high, low, close. Line charts display only one output, close, and the chart is drawn by connecting the closes of each bar.

Range Bar display

A Range Bar chart can be displayed as a bar, line, or candlestick chart via Display parameters.

Price Gaps

Because bars are created only if the price is out of the range, a single bar may cover, for example, a minute or several hours depending on market volatility. On the other hand, during the periods of high-liquidity, the price may quickly change by a multiple of the specified tick/price range. In this case, Range Bar chart might show a long trend of several bars going upwards/downwards from the previous close. However, those are not "real" bars that can be traded as they were created at the same time to fill in the price gap.

Range Bar outputs

These outputs are displayed in the cursor value box:

•      Open

•      High

•      Low

•      Close

These outputs are available in the Formula toolbox or in study parameters for studies applied to this chart type:

•      Open

•      High

•      Low

•      Close

•      Mid

•      HLC3

•      Avg

•      TrueHigh

•      TrueLow

•      Range

•      TrueRange

•      TickVol

•      Vol

•      RBOpen

•      RBHigh

•      RBLow

•      RBClose

•      RBMid

•      RBHLC3

•      RBAvg

•      RBTrueHigh

•      RBTrueLow

•      RBRange

•      RBTrueRange

Range Bar parameters