I know this seems like a trivial question and should seemingly not affect much, but I have just downloaded all the 1 minute data back to the year 2000 and was going to build up the timescales from it. This error, if it is an error is going to significantly effect any system I come up with which includes candlesticks.
I am no programmer, but I’m quite good in Excel and that will draw candlestick charts.
I am sure those of you who do know programming can see for yourselves that anything involving the “LOW” price in a calculation or algorithm is scewed by this anomaly, including back testing on any data from the same source which seems as others have said to be ALL DATA !
[Edit - this effect shows in all the smaller timescales - the 5 minute right up to the 4 hour, all the lows of teh bar all end in zero.
Interestingly the 1 day bars do not do this ! ] so the 1 day bars are NOT a summation of teh movements of the smaller timeframes. ]
Interestingly @_bob in his trading price thread, does not show these tails on his tick based candlesticks - I wonder why ?