Missing first bar in Intraday Data

Questions about MultiCharts and user contributed studies.
Victor

Missing first bar in Intraday Data

Postby Victor » 07 Jan 2007

Hi, Dear MC support.

I already post this problem half year ago and the problem is still there.

Issue is: When using 5-minutes bars with session from 9:30 to 16:00, first bar at 9:30 is missing on the chart. I suspect, that this bar is not included in studies and signals as well!!!
Instead of this bar, we see Session line, but not bar itself!!!

Please, try if you can reproduce the problem.

Thanks a lot for your product!

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ABC
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Postby ABC » 07 Jan 2007

Victor,

I am not sure if the solution is that simple, but if you use 5-minute bars, then the first bar of the session starting at 9:30 will be the bar ending at 9:35. This bar will contain the data from 9:30:01 to 9:35:00.
So it's correct that you don't see a bar ending 9:30 with your session settings (9:30 to 16:00).
Using 1-minute bars for example should result in the first bar ending at 9:31.

ABC

Victor

Postby Victor » 07 Jan 2007

Thanks for answering, but I am pretty sure, that this is just a simple bug!!!
Please, somebody from MC Support team, let me know if you acknoledge the problem.

Thanks

Victor

Postby Victor » 08 Jan 2007

Hi, Dear MC Support.

It looks like this problem exists only on Windowsw XP. Also on Windows XP I can't get eSignal working - No Data.

May be I am doing something wrong - I'll keep looking on that. If you have idea of what is wrong, Please, let me know.

Thanks
Victor

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Andrew Kirillov
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Postby Andrew Kirillov » 08 Jan 2007

Dear Victor,

Thanks for answering, but I am pretty sure, that this is just a simple bug!!!


There are 2 ways to mark bar timestamps. One is to mark bars on the beginning of the period while the other is to mark them on its end. It means that some softwares (e.g. TS, MultiCharts) mark 09:00-09:01 period as "09:01" while other softwares (e.g. eSignal) mark the same bar as "09:00". It is just up to software ideology.

In details MultiCharts evaluates bars as following:
- all the ticks [09:30:00 - 09:30:59] forms the 1-min bar stamped as "09:31";
- 1-min bars stamped as "09:31", "09:32", "09:33", "09:34", "09:35" forms a 5-min bar stamped "09:35";
- as a result the 5-min bar stamped "09:35" represents [09:30:00 - 09:34:59] period.

In case you do mean that MC loses some market data please send me a screenshot where we can clearly see that some software has a bar which MC misses.

Also on Windows XP I can't get eSignal working - No Data.


Did you have a chance to review the Online Tutorial?
http://www.tssupport.com/products/multi ... Signal.htm

Victor

Postby Victor » 09 Jan 2007

Hi, Dear MC Support.

I spent a lot of time to figure out why the first bar in intraday 5-minutes bar missing (I mean bar from 9:30).

The reason is when you set Session Time, it says from 9:30 to 16:00 (This is on Edit Exchange screen). However 9:30 and 16:00 area not included itselves. I change those setting to 9:25 and 16:05 and my bars from 9:30 became visible.

Please, confirm that and fix in the next beta if possible, I know it should be coming in days.

Thanks a lot.
Victor

Victor

Postby Victor » 09 Jan 2007

Dear MC Support.

Actually when I set up Session from 9:25 to 15:55 ( instead of 9:30 to 16:00) - I got perfect chart without missing 9:30 bars and extra bar numbers at the end of each session.

Of cource, Please, do something about that...

Thanks,
Victor

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Postby Guest » 10 Jan 2007

Dear MC Support.

Actually when I set up Session from 9:25 to 15:55 ( instead of 9:30 to 16:00) - I got perfect chart without missing 9:30 bars and extra bar numbers at the end of each session.

Of cource, Please, do something about that...

Thanks,
Victor


Victor by what you just posted. I am not sure you understood what Andrew explained. Let me say it another way. When you are using the RTH that opens at 9:30 est. with 5 min intervals. With MC you will not have a 9:30 bar because MC uses the time of the Close (9:35) to timestamp the first 5 minute bar. Think about it, why would you timestamp all the ticks that occurred between 9:30 and 9:35 with a timestamp(9:30) that was before they all occurred. Other programs do , do this. I believe TS is one example. But as Andrew explained, it is not the way MC timestamps the bars.

J~

Victor

Postby Victor » 10 Jan 2007

HI,

I completely understood what Andrew said. I have ASCII 5 minutes bars from 9:30 (first bar) and 15:55 (last bar). And 9:30 bar is not visible on the chart. It became visible only if Exchange Sesstion was set to 9:25 to 15:55.

Thanks
Victor

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Andrew Kirillov
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Postby Andrew Kirillov » 10 Jan 2007

Dear Victor,

It became visible only if Exchange Sesstion was set to 9:25 to 15:55.


Yes, at the moment this is the way to go. Just shift the session for 5-min. This is because of the bar's timestamp interpretation I explained in my post above.

Possibly we will add a timestamp interpretation option in QM to make this things clearer.


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