OHCL for Futures

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PK1
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OHCL for Futures

Postby PK1 » 14 Sep 2022

Hello,
for futures (here ESU2) I try to have correct OHCL-values on daily TF and I compared these with daily OHCL from Tradingview, CME and TWS from IB
I was assuming it's better to have "Build from Minutes" turned off when using daily timeframe in MC.

In the image the chart shows the example day with open marked and a High before the open. Beside my used session-template the table shows values comparing OHCL for that date with Tradingview, TWS, CME-Website and MC.

My first point:
It looks like even with a given period (session begin and end) for the bar the High/Low might be outside that period, which is imho strange but even CME is doing it like that. Using D1-Timeframe MC doesn't do that as you can see in my table (only the Low is fitting there). Imho MC is doing it right by calculating the H only inside session period but seeing three other platforms do it different I really wonder. But when turning "Build from minutes" on the H prior the session open is taken into account. Where does the "wrong" OHLC data come from when "Build from mins" is turned off, cant be from IB. Can you pls tell me what is the right way here and whether it's better to have "Build from minutes" on or not? Note that this is only for futures, for stocks it seems things are aligned.

My second point:
The Close, which is using 16:00 because that is defined as session end in my session-template, imho MC is correct here. But also here comparing with the other platforms, especially CME they seem to use 15:15. I have this template from MC-Support but it looks like the 0,5h after hours session should be moved to the next day or as a new third session. Any point regarding this?

Thank You
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Kate MultiCharts
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Re: OHCL for Futures

Postby Kate MultiCharts » 14 Sep 2022

Hello PK1,

Please check the GLOBEX exchange settings and adjust the symbol’s sessions to match those in IB TWS. We’d also recommend correcting the ES symbol root sessions in QuoteManager -> Tools -> Symbol Dictionary -> Interactive Brokers.

IB provides historical and real-time daily bars.
When you plot 1 Day resolution Build from Minutes disabled, you see bars provided by the data feed. It’s important for the sessions in MC to match the data source sessions.

When you plot 1 Day resolution with Build from Minutes enabled, you see bars built out of minute data based on sessions selected on the chart (Format -> Instrument -> Settings tab).

When you plot 1 Day resolution from IB with sessions that differ from the data source sessions, you’ll need to enable the Build from Minutes box.
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PK1
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Re: OHCL for Futures

Postby PK1 » 14 Sep 2022

Hello Kate,

thx but honestly, there are countless configs with session settings. I remember catching up with the sessions a few years ago but dropping it after seeing that there were different ways and something wasn't possible to adjust bc different configs were in conflict. I can't recall it in detail but gave up on it.

The difference of live data on D1-TF I've seen today. Yesterday with live data daily candle and indicator was different to today, where MC might be using historical data for yesterday. If I understand u right this should be solvable when sessions from MC and TWS are matching.

Step by step:
1. Symbol Dictionary has a list of root symbols for brokers, IB in my example and future /ES which is edited (screenshot from previous post). So I would assume every ES-Contract is using that symbol-root and by using symbol-root it'd be implicitly inheriting the session-settings there.
2. After the above setting is done each single contract should have configured "Use Symbol Dictionary Sessions", in order to inherit the session settings from step 1. This is the case here when looking at "Edit Symbol" then "Sessions"-Tab. So this is fine too.
3. You were talking about configure GLOBEX-Settings which also has a Session-Setting and I should be adjusting symbols session there to match with TWS. That's not possible there. There's only a global session setting with no specific symbol root. And why should I change the global session setting for all GLOBEX-Futures when the sessions for each symbol-root from that exchange are already defined in step 1 and 2. But also that exchange has other futures with different sessions than ES. Configuring here a specific session would be in conflict with one or the other future from that exchange where session is different. I assume that config comes into play when I config that a symbol is inheriting exchange-settings, not necessary here because in step 2 I inherit symbol-root session. So that should be fine.
4. You mentioned the session-settings in the chart (Format Instrument -> Settings) This is set to "Default" rn and there I can only select a custom session template. With this there are already 3 different session settings: I. for the Symbol-Root (Step 1 and 2), II. for the exchange Globex (Step 3) and III. by using the session template which can't be used in I. and not in II. I can see it can be useful to configure the session for a specific window but if there is no need then the session setting "Default" should use the setting from step 1 and 2. or 3. So this should be fine to with "Default" configured.

So this is what is done.

"When you plot 1 Day resolution from IB with sessions that differ from the data source sessions, you’ll need to enable the Build from Minutes box."

I do understand this but I see no further way to have the same session config in MC like in TWS. It's configured and on previous post you see that OHC isn't matching, only the Low is.

Thank You
Please check the GLOBEX exchange settings and adjust the symbol’s sessions to match those in IB TWS. We’d also recommend correcting the ES symbol root sessions in QuoteManager -> Tools -> Symbol Dictionary -> Interactive Brokers.

IB provides historical and real-time daily bars.
When you plot 1 Day resolution Build from Minutes disabled, you see bars provided by the data feed. It’s important for the sessions in MC to match the data source sessions.

When you plot 1 Day resolution with Build from Minutes enabled, you see bars built out of minute data based on sessions selected on the chart (Format -> Instrument -> Settings tab).

When you plot 1 Day resolution from IB with sessions that differ from the data source sessions, you’ll need to enable the Build from Minutes box.


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