Working with data series - close of dataX

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HummerH1
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Working with data series - close of dataX

Postby HummerH1 » 29 Jan 2012

Hello,
I have a chart, with 2 data series:
Same instrument : s&p
Same session : CME Globex Combined
One 15 mins resolution : Data1
One 1 Day resolution : Data3

Now, I've created an indicator with the code below:

Code: Select all

[IntrabarOrderGeneration = true]
variables:  MovingAverage200( 0 ),MovingAverage( 0 );
if barstatus(3)=2 then                   
begin
   MovingAverage200= Average( Close of data3, 200) ;   
   MovingAverage= Average( Close of data1, 200) ;   

   print("in Day "+ Text(Date of data3," ",Time of data3," close-1= ",Close[1] of data3," close= ",close of data3," "));      
   print("in 15M "+ Text(Date of data1," ",Time of data1," close-1= ",Close[1] of data1," close= ",close of data1," "));         
   print("in 15M "+ Text(time of data1," ",time[1] of data1));
   print("in Day "+ Text(time of data3," ",time[1] of data3));   
end;


Why don't I get the same value for Close of data1 and Close of data3?

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TJ
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Re: Working with data series - close of dataX

Postby TJ » 29 Jan 2012

HummerH1 wrote:Hello,
...

Why don't I get the same value for Close of data1 and Close of data3?


Short answer:

Ask your data provider why don't they provide the same value.


Long answer:

Minute charts closes its bar at the end of the minute.

Daily charts closes the bar at the end of the session. But the exchange does not publish the official closing price at the exact closing time. It is published usually a few minutes after the close. (ie. at a different time than the minute bar close.)

When you load a historic chart, you might see a discrepancy in the quote: minute chart carries the closing price at the time of the minute bar's close, while the daily chart would carry the "official closing price" of the day.
In real time, after the day's close, but before the official daily close is published, you might even momentarily "lose" the daily bar.
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HummerH1
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Re: Working with data series - close of dataX

Postby HummerH1 » 29 Jan 2012

Ok thanks for the longer answer :)
My data provider is esignal. But I did not know the closing price of the daily bar was adjusted retroactively.

The exchange is closing in my case at 15.15 untill 15.30.

So I wanted to check if the first tick of the 15.30 to 15.45 bar might be equal to the close of the daily bar.

I tried this code:

Code: Select all

if  time of data1 > 1515 and time[1] of data1=1515  and barstatus(1) = 0 then
begin
   print("in 15M "+ Text(Date of data1," ",Time of data1," close-1= ",Close[1] of data1," close= ",close of data1," "));         
   print("in 15M "+ Text(time of data1," ",time[1] of data1, "barstatus=",barstatus(1)));
end;


But the condition "barstatus(1) = 0" is never true. I can get the closing tick price, but not the opening tick price.

In the indicator propertied I have checked "update on every tick" and unchecked "skip identical ticks"

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Dave Masalov
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Re: Working with data series - close of dataX

Postby Dave Masalov » 03 Feb 2012

Why don't I get the same value for Close of data1 and Close of data3?


HummerH1,

eSignal provides both real-time minute and real-time daily data. Different Minute and daily data close values may come from the data provider. Please check it in eSignal software and if the values are the same there contact eSignal with this question.

HummerH1
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Re: Working with data series - close of dataX

Postby HummerH1 » 03 Feb 2012

Hello Dave,
TJ already gave me an answer to this (Thanks TJ!).

The problem I still have is the one of post#3

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Henry MultiСharts
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Re: Working with data series - close of dataX

Postby Henry MultiСharts » 07 Feb 2012

The described behaviour has not been reproduced in our environment.
The condition "barstatus(1) = 0" is true using the provided script.
Please come to our live chat Monday-Friday 6:30 am - 11 am EST to investigate this query with the specialist in this field.
We will do our best to help you.


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