Intraday High/Low Futures

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flipflopper
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Intraday High/Low Futures

Postby flipflopper » 10 Sep 2009

When I use the high/low key words on the daily timeframe it includes the overnight session as well.

Any way to get intraday high and low for futures?

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Andrew Kirillov
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Postby Andrew Kirillov » 11 Sep 2009

Dear flipflopper,

You should modify your sessions.

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Postby flipflopper » 11 Sep 2009

Dear flipflopper,

You should modify your sessions.


I have my session set properly but Multicharts has always had a bug where it uses 24 hour time periods for daily bars.

You can check this easily now:

Use symbol ES:
Use session settings: CME: Equity Index Futures (Open Outcry)
Then look at the low setting in then market scanner (It says 1035.00) Now look at the actual low during the session time (1038.50).

This has been a long standing bug.

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Postby Andrew Kirillov » 11 Sep 2009

What is the datafeed?

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Postby flipflopper » 11 Sep 2009

IQfeed. But I noticed it with esignal as well.

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Postby Andrew Kirillov » 11 Sep 2009

To make sure we are on the same page you are saying that we use regular and outside regular data to construct daily bars. You want to see them regular. Is this correct?

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Postby flipflopper » 14 Sep 2009

To make sure we are on the same page you are saying that we use regular and outside regular data to construct daily bars. You want to see them regular. Is this correct?


Correct. I have my session set to Index Futures Open Outcry. (Essentially Cash Market Hours). When I plot a daily bar the high and low should be from that session since the only option.... hold that thought.

It looks like in the new version you give the option to choose the session setting!!! This is great... but I tried this out and it is still using the overnight/24 hour session.

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Postby flipflopper » 16 Sep 2009

Any luck with the daily high/low session bug?

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Postby flipflopper » 18 Sep 2009

Have you confirmed this bug?

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Andrew Kirillov
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Postby Andrew Kirillov » 21 Sep 2009

Dear flipflopper,

This is because datafeeds send slightly different data for Tick/Minutes comparing to Daily requests. As you understand we can do nothing with the way they construct the daily bars. You just need to use smaller resolution to construct daily bars. So this is not the MultiCharts bug.

eSignal provides Daily data for daily requests for Trade/Bid/Ask quotes.
In case of eSingal it is useless to modify sessions in your case.

IQFeed provides Daily data for daily requests for Trade quotes.
IQFeed provides Tick data for daily requests for Bid/Ask quotes.

In case of IQFeed Trades it is useless to modify sessions in your case.
In case of IQFeed Bid/Ask you need to modify sessions to set the time interval you need.

The workaround for you will be as following:

Either for IQFeed or eSignal you need to plot Daily bars constructed from tick or minute data.
E.g. plot 7-hours bars or 420-minutes bars or 25200-seconds bars to build "daily" bars for 7-hr session; this will force MultiCharts to use datafeed's tick/minute data, not daily data.

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Postby flipflopper » 21 Sep 2009

This resolves the look of the chart. But I still get the overnight High and Low when I use the High and Low keywords/indicators.

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Postby flipflopper » 21 Sep 2009

Ignore that. It looks like using the new settings works with my studies.

Thanks

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Postby flipflopper » 21 Sep 2009

Actually I still have a problem.

If I plot SPX.XO which only contains cash market hours data I get different readings for the 1 day and 405 minute bars.

The average true range for the daily (14 period) is 12.14.
The average true range for the 405 minute (14 period) is 13.65.

Why is there this difference? They should be the exact same bars.

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Postby Andrew Kirillov » 21 Sep 2009

They should be the exact same bars.


Compare precisely a dozen of latest bars, they will be slightly different.

Hence the difference in indicator.

Compare 405-min and 24300-sec - they should produce no difference.

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Postby flipflopper » 21 Sep 2009

But the daily "24 hour" session for the SPX is from 9:30 to 4:00 EST. There is no after hours for this index.

This means the two bars should be exactly the same. Why wouldn't they be?

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Andrew Kirillov
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Postby Andrew Kirillov » 01 Oct 2009

Show me a recent screenshot, please.

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Postby flipflopper » 01 Oct 2009

Show me a recent screenshot, please.


No worries. I think it has to do with the data coming in. The 405 minute chart instead of the daily has worked like a charm.

Thanks!! Love your product!!

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Postby Andrew Kirillov » 01 Oct 2009

flipflopper,

You are welcome.


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