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MC / TS : Using Subcharts in studies


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MC / TS : Using Subcharts in studies

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  #11 (permalink)
 
Big Mike's Avatar
 Big Mike 
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NW27 View Post
No Ideas ???

If your goal is a RTH Daily chart and you need some sort of work around to accomplish this, and you think it's a Daily bar that is flawed, then try using a 1440 minute chart and apply your sessions to it.

Have you opened a support ticket with NT and MC? They duplicated this behavior?

Mike

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  #12 (permalink)
 
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 Fat Tails 
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NW27 View Post
No Ideas ???

If you have a quality data feed, the daily data has the high, low and settlement price, as reported by the exchange. Although you can also get high and low from intraday data, you cannot access the settlement price via intraday data. For futures the settlement price, is the official price, which is also used to determine the value of your account and the margin requirements.

So the daily data has added value. For example I need it to calculate correct values for floor pivots.

If you use daily data from Interactive Brokers, please consider that it is

- low quality data
- not showing the settlement price
- showing two daily bars for a double day session instead of one (five days per year for CME)
- and that at least NinjaTrader cannot read daily data from IB correctly but mixes up the bars

If you need daily data, which is in line with your session, you need to create an indicator that calculates open, high, low and close of the day and writes this to a separate DataSeries. You can then use this DataSeries to calculate what you want. This should be possible with both MulitCharts and NinjaTrader. I do not currently use MultiCharts, so I could only code it for NT.

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 Big Mike 
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Big Mike View Post
If your goal is a RTH Daily chart and you need some sort of work around to accomplish this, and you think it's a Daily bar that is flawed, then try using a 1440 minute chart and apply your sessions to it.

Have you opened a support ticket with NT and MC? They duplicated this behavior?

Mike

BTW, I took a few minutes today and found that my Daily bars in MultiCharts are working as expected. No problem with any sessions and daily bars. I am using IQFeed.

Mike

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  #14 (permalink)
 
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 Snoop 
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Not sure what is "as expected" but iqfeed daily bars are ETH not RTH. But the close does equal settlement price.
Some vendors (tradestation is one) provide an ES.D which is the pit session.
I have put in a request that iqfeed offer the same but so far they have not indicated any interest.


Big Mike View Post
BTW, I took a few minutes today and found that my Daily bars in MultiCharts are working as expected. No problem with any sessions and daily bars. I am using IQFeed.

Mike


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  #15 (permalink)
 NW27 
Newcastle, Australia
 
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Hi Guys,

Basically the SPI trades for about 20 hrs each day, with a daytime session 9:50AM to 4:30PM the rest in the night session. Depending o nwhat happens in the USA, the High/Low can be quite different to the daytime H/L.

IB supplies minute as well as Daily bars in there data feed. The Daily bar covers the full 24hr period.
This is what BOTH NinjaTrader & Multcharts download for their Daily bars. If NT has downloaded Daily bars from the data source then this is what it uses. It does not calculate the daily bar on minutes.


I have put in support tickets with both NT and MC and they both say the same thing as per the above.
That they use the down loaded daily bars from IB, if you have issues with the bars then speak with your data provider. :-(

Neil.

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  #16 (permalink)
 NW27 
Newcastle, Australia
 
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Mike,

In regard to you 1440 minute. I did the same thing by Specifiying that it use hourly bars and and set it to 24.
Appling my session to either of these works and gives me my RTH bars.

But.... I want to trade on 5min bars and use calculations derived from my RTH bars. As per the code I uploaded.

Has any body used the GlobalVariables.DLL ? Code this be my answer ???

Neil.

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