Bars

Price bars represent OHLCV data at various timeframes.

Bar Message

message Bar {
  string symbol = 1;
  Timeframe timeframe = 2;
  google.protobuf.Timestamp timestamp = 3;
  double open = 4;
  double high = 5;
  double low = 6;
  double close = 7;
  int64 volume = 8;
  int32 trade_count = 9;
  double vwap = 10;
}

enum Timeframe {
  TIMEFRAME_1M = 1;
  TIMEFRAME_5M = 2;
  TIMEFRAME_15M = 3;
  TIMEFRAME_1H = 4;
  TIMEFRAME_1D = 6;
}

Fields

symbol

Ticker symbol: AAPL, NVDA, etc.

timeframe

Value	Period
1M	1 minute
5M	5 minutes
15M	15 minutes
1H	1 hour
1D	Daily

OHLCV

• open: First trade price
• high: Highest price
• low: Lowest price
• close: Last trade price
• volume: Total volume

vwap

Volume-weighted average price:

VWAP = Sum(Price × Volume) / Sum(Volume)

Example

{
  "symbol": "NVDA",
  "timeframe": "TIMEFRAME_1D",
  "timestamp": "2025-01-15T00:00:00Z",
  "open": 124.50,
  "high": 128.75,
  "low": 123.10,
  "close": 127.80,
  "volume": 45000000
}