Why the same candle differs across venues

Candles are built from executed trades within a time interval, so their high, low, close, and volume depend on the specific trade stream used. Because each venue reports only its own trades, the same instrument can show different candles across venues for the same time bucket. Backtests that use a single venue’s candle data therefore inherit that venue-specific view of price extremes, closing prints, and volume.

A candlestick is a summary of trading over a fixed interval. For any interval, the candle records the opening price, the highest traded price, the lowest traded price, the closing price, and often the traded volume for that same interval. Because those values are built from executed trades, the candle depends on which trades were observed during that interval.

Each venue prints its own trades. An exchange publishes the transactions executed on its own order book, and those prints become that venue’s record of price and volume. If the same instrument trades on more than one venue, there is no single venue-level candle unless the data are explicitly consolidated across venues. A candle built from one venue therefore summarizes only that venue’s trades, not every trade everywhere.

That mechanism is enough to make candles differ across venues even when the time window is the same. Suppose one venue records trades at 100 dollars, 101 dollars, and 99 dollars during a one minute interval, while another venue records trades at 100 dollars and 102 dollars during that same minute. The first venue’s high is 101 dollars and its low is 99 dollars, while the second venue’s high is 102 dollars and its low is 100 dollars. Both candles describe real trading, but they describe different sets of trades.

Volume diverges for the same reason. If one venue executes 3 shares, then 2 shares, then 5 shares in an interval, its volume is 10 shares because 3 plus 2 plus 5 equals 10. If another venue executes 4 shares and 1 share in that same interval, its volume is 5 shares because 4 plus 1 equals 5. The candles cover the same clock time, but their volume reflects different execution streams.

The high and low are especially sensitive to isolated prints. A single trade at an extreme price can change a candle even if most trading happened elsewhere. If a venue records prices of 100 dollars, 100 dollars, and 103 dollars, the high is 103 dollars because the maximum of those trades is 103 dollars. If another venue records only 100 dollars and 101 dollars, its high is 101 dollars. A strategy that reacts to whether price touched a level can therefore produce different signals depending on which venue supplied the candle.

Time alignment does not remove the problem. Two venues can use the same one minute boundaries and still produce different candles because the underlying trades differ. The candle formula is simple, but the input set is venue specific. When the inputs differ, the outputs can differ.

Backtests inherit the same venue specificity when they use candles from a single venue. A backtesting platform typically ingests a particular market data feed and builds or stores candles from that feed. If that feed comes from one venue, then the tested highs, lows, closes, and volumes are the highs, lows, closes, and volumes seen on that venue. The backtest is therefore conditioned on that venue’s trading record.

This matters because many trading rules depend on candle fields rather than on every raw trade. A breakout rule may trigger when the high reaches a threshold. A stop rule may trigger when the low crosses a boundary. A liquidity or participation filter may rely on volume. If Venue A shows a high of 102 dollars and Venue B shows a high of 101 dollars for the same interval, then a threshold at 102 dollars is touched in one dataset and not touched in the other. The rule did not change. The sampled venue did.

The same logic applies to close prices. The close of a candle is the last trade recorded in the interval for the chosen data stream. If one venue’s last trade in the minute is 100 dollars and another venue’s last trade is 101 dollars, then the closes differ because the final observed trade differs. Any model that uses candle closes inherits that difference.

For quantitative work, the practical point is definitional rather than mysterious. A candle is not an abstract truth about an instrument. It is an aggregation of observed trades over a time bucket. When trading is fragmented across venues, different observations can produce different aggregates. A backtest that relies on one venue’s candles therefore inherits that venue’s version of the high, low, close, and volume for each interval.

Drafted with AI assistance from cited sources. Reviewed and approved by Sonar Sciences Quant & Research Team.