Session template not applied to instrument  [SOLVED]

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PD Quig
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Session template not applied to instrument

Postby PD Quig » 14 May 2013

I have a strategy that I've applied to a daily chart that executes EOD. Unfortunately, in the case of this chart EOD = 23:59 and I'm an early to bed / early to rise kind of guy. I have tried several things to get the bars to close at 18:00 so I can backtest results with a more realistic execution time. No matter what I try, the chart still shows all bars closing at 23:59:
  • 1. I created a custom template (see attachment) and applied it to the instrument. Didn't work.
    2. I then went into QM for the symbol and applied my custom session as a Custom Session Template. Didn't work.
    3. I even tried setting the instrument sessions setting to Regular Trading Hours and the daily bars still show closing at 23:59
I'm using IQFeed data, but obviously I am not clear about the interplay between the daily bar chart data and the sessions setting. If I change to 1440 minutes and apply my custom template it works.

Ideas?
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TJ
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Re: Session template not applied to instrument

Postby TJ » 14 May 2013

I have a strategy that I've applied to a daily chart that executes EOD. Unfortunately, in the case of this chart EOD = 23:59 and I'm an early to bed / early to rise kind of guy. I have tried several things to get the bars to close at 18:00 so I can backtest results with a more realistic execution time. No matter what I try, the chart still shows all bars closing at 23:59:
  • 1. I created a custom template (see attachment) and applied it to the instrument. Didn't work.
    2. I then went into QM for the symbol and applied my custom session as a Custom Session Template. Didn't work.
    3. I even tried setting the instrument sessions setting to Regular Trading Hours and the daily bars still show closing at 23:59
I'm using IQFeed data, but obviously I am not clear about the interplay between the daily bar chart data and the sessions setting. If I change to 1440 minutes and apply my custom template it works.

Ideas?
MultiCharts saves your data in 3 formats (all 3): tick, minute, and daily.
All the different chart resolutions are created on the fly from these data.

If you want a non-standard "daily" chart, you have to make it with minute data.

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Henry MultiСharts
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Re: Session template not applied to instrument  [SOLVED]

Postby Henry MultiСharts » 15 May 2013

IQfeed provides daily bars as fixed OHLC values with the session settings defined on their end.
You can get a daily bar with customized sessions if you create N minute chart with your own session template. IQfeed also provides ability to build minute and daily bars out of tick data:
Quote manager->Tools->Data sources->IQFeed->Settings->"build minute and daily bars from tick data". To make this setting come into effect you need to restart MultiCharts and all of its applications.

Please keep in mind that IQFeed has a limitation for amount of provided historical data:
Tick data- 8 calendar days within session hours, 120 days in non-session hours,
Minute data– up to 6 years (@ES# ~4.5 year)- only TRADE data,
Daily data – since 1901 (@ES# ~13 years), (INDU.X since 1928 year)

That means if you select building all resolutions from ticks then you will have less historical data, compared to using minute and day resolutions.

PD Quig
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Re: Session template not applied to instrument

Postby PD Quig » 16 May 2013

Thanks Henry. After I thought about it a while longer--but after I'd logged the post--I realized that the daily bars probably contained just four data points. No tweaking of the session would make any difference.

Thanks for the detailed answer about the nature and implications of changing data granularity.

PDQ


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