What would be the appropriate way to handle the data of a system composed of:
QQQ Daily data1 (ARCA UTC -05:00 / build from minutes)
VXN Daily data2 (CBOE UTC -06:00 / build from minutes)
As it is the signals are triggered at 10:30 AM
Changing the data (ECN/Settings/Sessions) gives very different results in Backtesting.
Great thanks.
Handle data of a system with different UTC
- Kate MultiCharts
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Re: Handle data of a system with different UTC
Hello Azoth,
MultiCharts processes data according to the exchange settings. The exchange is specified for each symbol in QuoteManager (double-click the symbol -> Settings/Sessions tab).
Exchange settings are adjustable in QuoteManager -> Tools -> Exchanges & ECNs.
We recommend configuring sessions according to the data feed’s specification (for example, for IB you can check them in the IB TWS: right-click the symbol -> Financial Instrument Info -> Description -> Trading Schedule) or look up the sessions on the exchange’s website.
MultiCharts processes data according to the exchange settings. The exchange is specified for each symbol in QuoteManager (double-click the symbol -> Settings/Sessions tab).
Exchange settings are adjustable in QuoteManager -> Tools -> Exchanges & ECNs.
We recommend configuring sessions according to the data feed’s specification (for example, for IB you can check them in the IB TWS: right-click the symbol -> Financial Instrument Info -> Description -> Trading Schedule) or look up the sessions on the exchange’s website.
- strelow
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Re: Handle data of a system with different UTC
Hello Kate
I have some instruments that I get from FreeQuotes but even adjust Exchanges & ECNs and setup General and time zone after this markets close and I open the chart the last bar goes down to zero value everyday but if I open before market close this not happened.
I have some instruments that I get from FreeQuotes but even adjust Exchanges & ECNs and setup General and time zone after this markets close and I open the chart the last bar goes down to zero value everyday but if I open before market close this not happened.
- Kate MultiCharts
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Re: Handle data of a system with different UTC
Hello strelow,Hello Kate
I have some instruments that I get from FreeQuotes but even adjust Exchanges & ECNs and setup General and time zone after this markets close and I open the chart the last bar goes down to zero value everyday but if I open before market close this not happened.
What symbols do you notice this behaviour with exactly?
- strelow
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Re: Handle data of a system with different UTC
Hello Kate
Basicaly all from brazilian market Bovespa some examples PETR4.SA ,CMIG4.SA,CSNA3.SA, but I my understand after close market somethig create value 0 until the market open again in other day but only if I open after bovespa is closed.
Basicaly all from brazilian market Bovespa some examples PETR4.SA ,CMIG4.SA,CSNA3.SA, but I my understand after close market somethig create value 0 until the market open again in other day but only if I open after bovespa is closed.
- Kate MultiCharts
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Re: Handle data of a system with different UTC
strelow,
The behaviour is not reproduced on our end.
When it’s reproduced on yours, please plot one problematic chart and send us a report via the main MultiCharts window -> Help -> Feedback.
Please select the options:
Attach a screenshot; (please make sure the issue is visible)
Attach log files…;
Snapshot of the current MC setup;
Open workspaces…;
Data for active instruments…;
Upload collected data to Help Desk;
uncheck other options and click Send.
The behaviour is not reproduced on our end.
When it’s reproduced on yours, please plot one problematic chart and send us a report via the main MultiCharts window -> Help -> Feedback.
Please select the options:
Attach a screenshot; (please make sure the issue is visible)
Attach log files…;
Snapshot of the current MC setup;
Open workspaces…;
Data for active instruments…;
Upload collected data to Help Desk;
uncheck other options and click Send.
Re: Handle data of a system with different UTC
Hello Kate,
Sorry by the delay.
I trade SPY/QQQ/DIA/IWM, data2 VIX/VXN/VXD/RVX are only for strategy calculations, not trade.
My problem was that VIX/VXN/VXD/RVX data are from CBOE timezone (UTC -6) while ARCA data are (UTC -5).
The problem was solved changing in Multicharts "Exchanges and ECN's" the CBOE's timezone and creating a new "Session Template" with one minus hour.
I would have liked a more "elegant" solution but it seems that there is not.
Thank you very much for your help and your time.
Kind regards.
Sorry by the delay.
I trade SPY/QQQ/DIA/IWM, data2 VIX/VXN/VXD/RVX are only for strategy calculations, not trade.
My problem was that VIX/VXN/VXD/RVX data are from CBOE timezone (UTC -6) while ARCA data are (UTC -5).
The problem was solved changing in Multicharts "Exchanges and ECN's" the CBOE's timezone and creating a new "Session Template" with one minus hour.
I would have liked a more "elegant" solution but it seems that there is not.
Thank you very much for your help and your time.
Kind regards.