Bar anomalies when multi-hour bars cross NY close

Questions about MCFX and MCFX Data Feed.
yosnappyj
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Bar anomalies when multi-hour bars cross NY close

Postby yosnappyj » 29 Mar 2007

I've been setting up charts in 1-hour increments from 1 to 24 hours, and I've noticed what seems to be an anomaly in the way MCFX handles bars that cross the NY close. In effect, every bar that is open at 5pm New York time is closed at that time, and a new bar opened.

That means that if you set up a 10-hour chart, instead of a smooth sequence of 10-hour bars, you get:

10h - 10h - 4h - 10h - 10h - 4h - 10h - 10h - 4h - etc.

The effect is most pronounced in the 23h chart, where the sequence is:

23h - 1h - 23h - 1h - 23h - 1h - 23h - 1h - etc.

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Kate
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Postby Kate » 29 Mar 2007

It's a normal behavior that bars are cut by the session break.

yosnappyj
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Postby yosnappyj » 29 Mar 2007

It's a normal behavior that bars are cut by the session break.
Thanks Kate.

It did cross my mind that this might be intentional. Could you explain the rationale?

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Kate
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Postby Kate » 29 Mar 2007

If the bars were not cut by the session break, your charts would begin from a certain starting point and would keep collecting data but they wouldn't coincide with other charts that would be opened at other time. To synchronize charts it was decided to cut bars at the close of each session.

yosnappyj
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Postby yosnappyj » 29 Mar 2007

If the bars were not cut by the session break, your charts would begin from a certain starting point and would keep collecting data but they wouldn't coincide with other charts that would be opened at other time. To synchronize charts it was decided to cut bars at the close of each session.
I see your point.

However, the charts which are factors of 24 (1,2,3,4,6,8,12,24) only need to be synchronised to one arbitrary NY Close, and will remain in sync. without any bars being broken.

The non-factors (5,7,9,10,11,13,14,15,16,17,18,19,20,21,22,23) will have a broken bar every 24 hours, which renders them useless.

yosnappyj
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Postby yosnappyj » 08 Apr 2007

I see your point.

However, the charts which are factors of 24 (1,2,3,4,6,8,12,24) only need to be synchronised to one arbitrary NY Close, and will remain in sync. without any bars being broken.

The non-factors (5,7,9,10,11,13,14,15,16,17,18,19,20,21,22,23) will have a broken bar every 24 hours, which renders them useless.
I'm not sure I made my point very well, so I'll try again.

In the cases where synchronising at every session break works, it's not necessary, because the charts will stay synchronised if synchronised once.

Where it would be necessary, it doesn't work, because it produces at least one broken bar in every 24 hour period.

Isn't there a smarter way to synchronise without breaking so many bars? I can think of a few that might work.

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Kate
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Postby Kate » 09 Apr 2007

Isn't there a smarter way to synchronise without breaking so many bars?
Unfortunately, the program cannot synchronize bars without cutting them by session breaks and we are not planning to change its behavior.

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terminal7
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Postby terminal7 » 10 Apr 2007

Isn't there a smarter way to synchronise without breaking so many bars?
Unfortunately, the program cannot synchronize bars without cutting them by session breaks and we are not planning to change its behavior.
I think you should re-evaluate your stance in this instance if you would like to retain the most studious market analysts as MCFX members. The person who started this thread has a potent point. Handling session breaks as you do now drastically distorts the market picture and while this may seem insignificant to you it is certainly NOT to traders such as me who rely on sensitive counting schemes to trade. Your handling of SBC's (Session Break Candles) is throwing off my counts. It creates shortened candles that inaccurately inflate the horizontal size of events causing events to appear (and be counted) that would not be there if MCFX strictly held to the POINT, CHANGE, or TIME criteria of the chart.

Why can't you just carry the candle over the session until it meets the CRITERIA of the chart? There's gotta be a way to handle this better...

Bottom line for me is this. FIND A WAY TO MAKE YOUR CHARTS ACCURATE or I'm outta here.

I've also posted a new thread on candle generation criteria - strangely enough, right BEFORE I read this thread. My congrats to the author on being so observant and rightly critical.

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terminal7
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Postby terminal7 » 10 Apr 2007

It's a normal behavior that bars are cut by the session break.
What TSsupport should be thinking about is WHAT'S BEST FOR MCFX TRADERS not what is NORMAL BEHAVIOR. Are you guys INNOVATORS OR FOLLOWERS? If the former, then why should you think like the later?

yosnappyj
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Postby yosnappyj » 11 Apr 2007

Isn't there a smarter way to synchronise without breaking so many bars?
Unfortunately, the program cannot synchronize bars without cutting them by session breaks and we are not planning to change its behavior.
I can only urge you to reconsider.

I agree with "terminal7" - it's of primary importance that the bar criteria should be met. Charts with so many broken bars are useless, whether synchronised or not. Count-based systems become unworkable when (in low volatility markets) every bar in the chart is broken.

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Kate
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Postby Kate » 11 Apr 2007

Yosnappyj and Terminal7,

Formerly our developers thought about plotting time-based and count-based bars from a certain starting point without cutting bars but finally they decided that it was fraught of hidden dangers and would result in a big mess on one's charts.

So far we'd like to close this discussion of what is considered to be "normal behavior" or what is not issue since it is technically very difficult to implement this functionality but maybe in the future we will reconsider this viewpoint.

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terminal7
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Postby terminal7 » 11 Apr 2007

Yosnappyj and Terminal7,

Formerly our developers thought about plotting time-based and count-based bars from a certain starting point without cutting bars but finally they decided that it was fraught of hidden dangers and would result in a big mess on one's charts.

So far we'd like to close this discussion of what is considered to be "normal behavior" or what is not issue since it is technically very difficult to implement this functionality but maybe in the future we will reconsider this viewpoint.
TSsupport, time to wake up! Any chart higher than 10 hours and 25 points is already a "big mess" for anyone using a count-based strategy. The lunacy of having a 200 point chart that does not contain a single 200 point candle should be obvious to anyone.

We've given you examples of the problems created by SBC's but you give us no details about what sort of "big mess" would result by eliminating them, nor do you seem open to considering ideas from traders as to how this problem might be circumvented.

Your decision is very disappointing. Of course, I cannot go anywhere else because I know that there is no one else working on this problem either.

I know that you cater to technical analysts and indicator junkies - and this problem probably doesn't affect their work - but I think you should value the minority of traders who use count-based strategies as well.

You've basically decided that an inaccurate picture of the market is not such a big deal, as long as you can get things to line up easily. That's a cop-out. We need a charting provider with a backbone. One that's willing to break new ground and tackle daunting problems...

Very disappointing...

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terminal7
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Postby terminal7 » 11 Apr 2007

yosnappyj,

Just curious as to how you were able to identify session break candles in your TIME based charts. Can you clue me in? Were you looking at a time stamp or something?

yosnappyj
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Postby yosnappyj » 11 Apr 2007

Just curious as to how you were able to identify session break candles in your TIME based charts. Can you clue me in? Were you looking at a time stamp or something?
My trading relies on comparing indicators in several different time scales simultaneously, typically 30 minute, 1,2,4 and 8 hour charts. I'd set up these charts in a single workspace to relate the behaviour of the different time scales. Obviously, one 8-hour bar corresponds to two 4-hour bars, four 2-hour bars, and so on.

I added the 16-hour time chart, naturally expecting each bar to correspond to two 8-hour bars, but found by checking the timestamps of the chart that the "16-hour" chart actually consisted of alternating 16h and 8h bars. If you display the 16h and 8h charts on the same axes, the effect is obvious.

I'd also been setting up charts in incremental hourly periods to look at the changing behaviour of longer-period oscillators, and noticed that the longer time periods tended to alternate very short and very long bars. Checking the timestamps again, I noticed that all the charts had a forced bar close at NY Close, and the short bars were actually being truncated
by the session break.
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yosnappyj
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Postby yosnappyj » 11 Apr 2007

Formerly our developers thought about plotting time-based and count-based bars from a certain starting point without cutting bars but finally they decided that it was fraught of hidden dangers and would result in a big mess on one's charts.

So far we'd like to close this discussion of what is considered to be "normal behavior" or what is not issue since it is technically very difficult to implement this functionality but maybe in the future we will reconsider this viewpoint.
As I began this thread, allow me a few closing remarks.

I realise that there's no single correct compromise that will please everyone, and I realise that having presumably chosen this particular session-break protocol at an early stage in the development of MCFX, it will be very difficult to adopt a different protocol now. I remain convinced that you should.

The protocol you've chosen has the advantage that it's simple, and being applied every 24h, should prevent any cumulative errors from growing. It has the serious disadvantage that where it works without breaking bars, it's not necessary, and where it would be necessary it does more harm than good. You've chosen to give visual synchronisation of the data more importance than the integrity of the data, and I think that's a grave mistake.

In time-based charts, it's still possible to choose time scales that result in no broken bars. In point-based charts, broken bars become unavoidable, and as the point count approaches the daily range, the charts become useless. I'm sure that your developers must realise this.

I realise that this is repetitive, and I apologise. It's late, and I'm tired. I'll leave it there.

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terminal7
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Postby terminal7 » 23 Apr 2007

Isn't there a smarter way to synchronise without breaking so many bars?
Unfortunately, the program cannot synchronize bars without cutting them by session breaks and we are not planning to change its behavior.
What Kate says here is true, only she fails to realize that the easy solution to the problem of broken bars in chart resolutions below 1 day is to move the 1 day session break upward in scale to 1 week (7 days / 168 hours). Please see the thread A SOLUTION TO BROKEN CANDLES IN TIME BASED CHARTS. Please also see A PETITION to TSSupport from traders: FIX BROKEN CANDLES and let your voice be heard in this issue by signing the petition. Thanks!

Post Script: The sad part is that TSSupport now knows of this solution and they STILL RESIST implimenting it. In fact, they haven't even commented on it (if you can believe that). WE NEED YOUR VOICE AS AN MCFX TRADER to get action to be taken on this issue!


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