N-day chart candle generation rules
Posted: 19 Jun 2007
Could someone (Andrew, Kate?) clarify the rules by which MCFX governs n-day charts?
From what I've been able to figure out, it appears that at New York close (2100 GMT, 2300H my local time), a new candle is opened with the same timestamp as the most recent candle.
[If the chart is not refreshed, but is left from day to day, a sequence of these daily candles will sprout on the n-day chart. I hesitate to assume that this is unintentional.]
Between 2100GMT and 2200GMT, reloading the chart will maintain this condition. After 2200GMT, on Monday to Thursday, reloading the chart causes MCFX to regroup the daily candles into new n-day groups, so that the most recent completed candle is timestamped with the previous day's date, and groups the preceding n days.
On Fridays, it seems that reloading the chart causes the bars to be regrouped so that the most recent active n-day bar corresponds to the weekly close, i.e. the end of the current day.
To illustrate, consider a 3-day chart created on a Tuesday, made up by grouping trading days together in threes.
In each case, the last candle (marked with an asterisk) is the active one:
(Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu)*
At 2100GMT on Tuesday evening, this becomes:
(Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu) (Tu)*
and at 2200GMT:
(Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We)*
At 2100GMT on Wednesday evening, this becomes:
(Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We) (We)*
and at 2200GMT:
(We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th)*
At 2100GMT on Thursday evening, this becomes:
(We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th) (Th)*
and at 2200GMT:
(Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr)*
If the chart is never reloaded, it ends up looking like this:
(Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu) (We) (Th) (Fr)*
I have a few further questions and points I want to make about this, but first could you confirm (I'm not at all certain) that I've correctly understood the process that MCFX follows?
From what I've been able to figure out, it appears that at New York close (2100 GMT, 2300H my local time), a new candle is opened with the same timestamp as the most recent candle.
[If the chart is not refreshed, but is left from day to day, a sequence of these daily candles will sprout on the n-day chart. I hesitate to assume that this is unintentional.]
Between 2100GMT and 2200GMT, reloading the chart will maintain this condition. After 2200GMT, on Monday to Thursday, reloading the chart causes MCFX to regroup the daily candles into new n-day groups, so that the most recent completed candle is timestamped with the previous day's date, and groups the preceding n days.
On Fridays, it seems that reloading the chart causes the bars to be regrouped so that the most recent active n-day bar corresponds to the weekly close, i.e. the end of the current day.
To illustrate, consider a 3-day chart created on a Tuesday, made up by grouping trading days together in threes.
In each case, the last candle (marked with an asterisk) is the active one:
(Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu)*
At 2100GMT on Tuesday evening, this becomes:
(Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu) (Tu)*
and at 2200GMT:
(Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We)*
At 2100GMT on Wednesday evening, this becomes:
(Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We) (We)*
and at 2200GMT:
(We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th)*
At 2100GMT on Thursday evening, this becomes:
(We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th) (Th)*
and at 2200GMT:
(Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr)*
If the chart is never reloaded, it ends up looking like this:
(Th Fr Mo) (Tu We Th) (Fr Mo Tu) (We Th Fr) (Mo Tu We) (Th Fr Mo) (Tu) (We) (Th) (Fr)*
I have a few further questions and points I want to make about this, but first could you confirm (I'm not at all certain) that I've correctly understood the process that MCFX follows?