- ago
Working on a script that uses two timeframes, ten-minute bars and daily bars. I need finer resolution than ten-minute bars for fills during back-testing.

To accomplish this, I am using minute bars as input, compressing and synching my two other bar histories, 10-minute and daily. So, trading on minute interval with decisions being made based on the two other timeframes.

When I access my synchronized ten-minute bar’s IntraDayBarNumber, the result comes back as the bar number of the minute bars, unsynchronized comes back with the expected ten-minute bar number but creates other problems.

If I want to do something at the close of the second ten-minute bar, I can’t use the synchronized bar history. Is this expected?

Workaround is to build out a list of correlations, close of bar nine = close of first ten-minute bar, etc. Is this the correct approach?

0
99
0 Answers

Reply

Bookmark

Sort
Currently there are no answers, yet. Please check in later.