I can get bid and ask data from my market data provider but I want to convert this in OHLC values. What is the good calculation using bid/ask? I saw in a post that for a specific period:
Open = (first bid + first ask) / 2.
High = Highest bid
Low = Lower ask
Close = (last bid + last ask) / 2
Is it true?
You are getting confused with terminology. In forex:
Ask is the price that you, the trader, can currently buy at.
Bid is the price that you, the trader, can currently sell at.
OHLC are historical prices for a predetermined period of time (common time periods at 1 min, 5 min, 15 min, 30 min, 1 hour, 4 hour, daily and weekly) and are usually used to plot candle stick charts (and tend to be based on the Bid price only).
Open - This is the bid price at the commencement of the time period.
High - This is the highest bid price that was quoted during the time period.
Low - This is the lowest bid price that was quoted during the time period
Close - This is the last bid price at the end of the time period.