Daily ES bars without holidays

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roesm
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Daily ES bars without holidays

Postby roesm » 13 Jun 2014

When trading ES (as oh so many do), I'm having a problem with using series functions - such as average(c,10). I set up my chart with 5-minute bars and add daily bars in a data2 chart. I use the new "Build from minutes" feature - which is great btw! This is mostly OK, but its one flaw is that bars are generated on short days or holidays. This causes errors in series functions and then results don't match with cash index calculations.

A very useful feature would be to generate ES daily bars ONLY when there is a bar generated in the corresponding cash index (such as INX for ES). Is there already a way to do this?

TIA
Mike

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TJ
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Re: Daily ES bars without holidays

Postby TJ » 13 Jun 2014

When trading ES (as oh so many do), I'm having a problem with using series functions - such as average(c,10). I set up my chart with 5-minute bars and add daily bars in a data2 chart. I use the new "Build from minutes" feature - which is great btw! This is mostly OK, but its one flaw is that bars are generated on short days or holidays. This causes errors in series functions and then results don't match with cash index calculations.

A very useful feature would be to generate ES daily bars ONLY when there is a bar generated in the corresponding cash index (such as INX for ES). Is there already a way to do this?

TIA
Mike
You can make a Custom Session Template:

QuoteManager > Tools > Session Templates

roesm
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Re: Daily ES bars without holidays

Postby roesm » 14 Jun 2014

I think you meant QuoteManager --> Holidays Setup, then un-tick "Show data on holidays".
This works, but it completely blanks out all data (including 1-minute) instead of just skipping the daily bars on holidays (as it does when you do NOT build daily bars from 1-minute data).

If that's the best we have, then I think it will work for me. Thank you for pointing me in the right direction.

-Mike

[edit]

I got a little confused, so to clarify... The "Show data on holidays" tick box, when un-checked, is brute-force and will blank out all data on holidays for all contracts. This means no strategy can use holiday price action when this box is un-checked. When the box is checked, all data is available and if "Build daily bars from 1-minute data" is checked, then a daily bar is generated on holidays. If "Build daily bars from 1-minute data" is un-checked, then the daily bars are retrieved from the data provider. My provider is iQFeed and their daily bars do not include holidays, but their open and close prices don't match their 1-minute data - it's usually off by a few ticks. Not sure why.

If any of my assumptions are wrong here, please let me know. Thanks!

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arnie
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Re: Daily ES bars without holidays

Postby arnie » 15 Jun 2014

There's a PM request that might help you also.

https://www.multicharts.com/pm/viewissu ... no=MC-1395

Apart from QM's holiday option that remove the data from all instruments, if we had also an holiday option chart based, where we could select the days we want to remove from the chart itself, always based on the session template used, it would allow a much better data management for studies and strategies.

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Henry MultiСharts
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Re: Daily ES bars without holidays

Postby Henry MultiСharts » 12 Aug 2014

The data is not blacked out for all symbols by using this option. A certain holiday list is applied only to the exchanges (and instruments using this exchange) that have this particular holiday list selected in the exchange settings.


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