There is to clarify any confusion for Datapump programmers regarding ‘additional data’ vs bid/ask statistics. The Data Pump documentation describes ‘additional data’, which we consider to be things like “Market Capitalization”, “Price to Earnings Ratio”, or any other time series besides Open, High, Low, Close or Volume that you wish to feed in with each price bar. Currently this ‘additional data’ can only be fed into the Data Pump using minute bars or greater (minute, daily, weekly, etc.).
Although unrestricted ‘additional data’ is not available in tick by tick based bars (second, tick, volume and range), tick by tick bars do have the capability to feed in bid/ask prices which are used to make bid/ask statistics (bid, ask, bid size, ask size, # Bid Trades, # Ask Trades, etc.) available on the charts. These bid/ask values and statistics are not available on minute/daily bars unless they are computed external to the data pump and fed in as ‘additional data’.
So in summary, ‘additional data’ like “Market Capitalization” and “Price to Earnings Ratio” can be fed into minute/daily bars. However, the only extras that can be fed into tick based bars (second, tick, volume and range) are bid/ask prices.
Although tick bars can not have additional data beyond bid/ask as described above, if your second bar data is in the form of OHLCV (unlike many feeds), then it is possible to feed those OHLCV values into the Data Pump for second bars. To do so simply requires you to feed in the values as 4 ticks for each bar. For each OHLC second bar, you would simply feed in the Open price with zero volume, the High price with zero volume, the Low price with zero volume, and then the Close price with the bar’s Volume as the final tick, with all 4 ticks having the same date/time stamp of the OHLC second bar. By doing this for each OHLC second bar, the data pump will then combine the ‘ticks’ into one bar, essentially doing the same thing as feeding in OHLCV all as one data point as you would in minute/daily bars. However, if you use this method, it should be noted that tick bar types may not be realistic and volume and range bars may also not be nearly as realistic as when using pure tick data for smaller volume/range bar sizes.