I have a question regarding the exact interpretation of price variables C and O within PCF.  When the timeframe used with a PCF formula is less than one trading day (e.g. 5 minutes), there is no pause in trading between intervals.  For that reason, I would expect that the open of the current interval exactly equals the close of the prior interval (O=C1). In other words, both are the price at the same instant in time, that is, the price at the boundary between the current and prior interval.  However, in practice  the two values are not always the same.  What do the values represent?  Is C1 the last transaction in the prior interval, and O the first transaction in the current interval?  Or are they snapshots or averages over a certain (much shorter) interval?  Something else?

Thanks!

If there is a trade during the interval, O should be the first trade during that interval, H should be the highest trade during that interval, L should be the lowest trade during that interval, and C should be the last trade during that interval.

If there are no trades during an interval, then O, H, L, and C will all be the value of the last trade during the most recent interval with a trade.