Any EL coders willing to tackle session break problem?

Questions about MCFX and MCFX Data Feed.
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terminal7
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Any EL coders willing to tackle session break problem?

Postby terminal7 » 11 Apr 2007

Recently TSsupport closed discussion on a couple of threads I consider extremely important. Those threads dealt with the difficulties that arise (esp. for anyone using counting strategies to trade) when candles are closed by session breaks rather than by the stated chart criteria/resolution. It's surprising how quickly session break candles dominate a chart when you move from low to higher resolutions. In a 15 Point chart I found half a dozen SBC's. In a 200 Point chart all candles are Session Break Candles. This corrupts the picture of the market that the chart displays. I've detailed the effects of SBC's in the thread "Questions on candles and candle generation criteria." The topic is also considered in "Bar anomalies when multi-hour bars cross NY close."

What I'd like to know now is if there are any EL coders out there who might like to tackle the problem from the outside in (seeing as how TSsupport is unwilling to deal with it from the inside out).

Since SBC's are so easily identified in POINT COMPRESSED charts I've decided to focus on them. An SBC would be a candle that:

1. when measured from HIGH to LOW does not equal the chart's stated resolution...

AND/OR

2. does not CLOSE at a HIGH or LOW.

I'm sure that an indicator that identified and highlighted SBC's would be easy to code. This at least would let a trader know at a glance just how corrupted his chart is.

What I'd like to know is this:

WOULD IT BE POSSIBLE TO HAVE THE ROUTINE DELETE SESSION BREAK CANDLES FROM THE CHART? Obviously it would have to confine itself to historic candles so that it wouldn't delete the current candle as it's in the process of forming...

I've read a little about EL but can't really deal with a task like this.

yosnappyj
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Re: Any EL coders willing to tackle session break problem?

Postby yosnappyj » 11 Apr 2007

It's surprising how quickly session break candles dominate a chart when you move from low to higher resolutions. In a 15 Point chart I found half a dozen SBC's. In a 200 Point chart all candles are Session Break Candles.
In fact, when you know the criteria the program is applying, it's only to be expected. When the point resolution of the chart exceeds the daily range, every n-point bar becomes a 24h bar.
What I'd like to know is this:

WOULD IT BE POSSIBLE TO HAVE THE ROUTINE DELETE SESSION BREAK CANDLES FROM THE CHART?
That would still leave a distorted chart. Your 200 point EUR/USD chart would consist of no bars at all!

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terminal7
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Re: Any EL coders willing to tackle session break problem?

Postby terminal7 » 11 Apr 2007

When the point resolution of the chart exceeds the daily range, every n-point bar becomes a 24h bar.
You know, I never thought of it like that but you're absolutely right.
WOULD IT BE POSSIBLE TO HAVE THE ROUTINE DELETE SESSION BREAK CANDLES FROM THE CHART?

That would still leave a distorted chart. Your 200 point EUR/USD chart would consist of no bars at all!
(lol) True. I was thinking of using it on charts that were not quite as affected by SBC's but even then results could be screwy... when an SBC is part of an Event and esp. when it marks the high or low of an Event deleting would delete useful information from the chart. It just depends on where it occurs. There are many that could be deleted without compromising chart integrity - but to create a routine that would allow for selective deleting of SBC's would no doubt be very difficult...


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