Hi. Yesterday 1/28/2022 I noted that WL was off in timing on the charts 15 minutes. This made things a bit complicated. How did this happen?
Michael
Michael
Rename
Can you provide some more context? What data provider? What scale? Symbol, screenshot if possible? And, what do you mean by "off" exactly?
TQQQ and SQQQ. 5 minuted candles that started on active trader pro at 10:20 started on WL at 10:35.
Another example. It has TQQQ hitting a high on the 5 min candle of 56.07 at the candle closing at 4:10. This should have been 4:00.
ActiveTrader Pro timestamps data as start-of-bar while WL has always used end-of-bar timestamps.
Hey Michael, as Eugene said, this is just a different convention. WL uses the end of the interval as a bar’s time stamp.
That's not true about active trader pro. They both do the same. That still would not explain it being off 15 minutes.
Again, ATP has always timestamped data as start-of-bar. It was even mentioned in the WL5 Wiki FAQ.🤷♂️
Well I just opened up ATP. The first candle of the day shows 9:35 eg. end of the candle stamp. 9:35 for SQQQ shows $45.81. WL shows 45.82 at 9:50. Similar for TQQQ. The other strange thing is that there are no values for before 9:35 even though I have the filter for pre post turned off so those values should be there. I am presuming that this has to do with the data from iQ Feed from DTN? Was weird either way. I have never seen this before.
Michael
Michael
QUOTE:I haven't used ATP in years, but I'm still doubtful that they switched to end-of-bar timestamps. I'd like to actually see some datapoints on that!
just opened up ATP. The first candle of the day shows 9:35
You should see that the data from a 9:30 5-minute bar in ATP matches the 9:35 bar in WL7 after 9:35:00.
QUOTE:Check your IQFeed configuration in the Data Manager. You likely have Regular Session Only checked. The only reason to use RSO is, 1) you never want to collect before/after-hours data, and, 2) to correct the opening tick/bar in intraday data for the session which could include pre-market trades that are reported just after the opening bell.
no values for before 9:35
No, regular session is not clicked. As I indicated before on the chart itself I right clicked to get to status view and made sure that the pre-market filter was unchecked.
However WL worked just find today matching ATP values. Weird day and not sure why it was the way it was. So all is OK i guess.
'
Thanks for all
Michael
However WL worked just find today matching ATP values. Weird day and not sure why it was the way it was. So all is OK i guess.
'
Thanks for all
Michael
I have not tracked this in detail but noted at the end of the day that on both TQQQ and SQQQ candles that began at 3:45 WL has beginning at 4:00 PM, This is a problem if this tracks throughout the day.
Michael
Michael
Actually appears to go throughout the day, Candle that actually began for both TQQQ and SQQQ at 11:25 Wl posts this entry at 11:40.
Would you mind posting a screen shot like the one below for SPY? Here's my chart for today, 15 minutes. The first bar ends at 9:45 and the last one at 4:00 as expected.
And another issue. I think I raised this early. On both 5 and 1 minute candles WL does not start till exactly 9:30 even though settings are set to have it access data from across the time span.
Hi again - I'm not seeing these issues you're reporting. That's why I asked if you could post a screen shot to help me understand what you're experiencing. Do you think that would be possible?
drjay,
You'll never see a 0930 candle if you're filtering for market hours.
The first 1-minute bar will be 0931.
The first 15-minute bar will be 0945.
Try this. Right click the chart, Copy Price Data, and paste it to Excel or a text editor. Here are the 15-bars bars for SPY from IB for yesterday... compare with yours.
If you're getting data from IB, there should not be a difference (their server farm could have a server with different data, but I've never seen that). If there is a difference, please post it.
You'll never see a 0930 candle if you're filtering for market hours.
The first 1-minute bar will be 0931.
The first 15-minute bar will be 0945.
Try this. Right click the chart, Copy Price Data, and paste it to Excel or a text editor. Here are the 15-bars bars for SPY from IB for yesterday... compare with yours.
CODE:
"2/4/2022 9:45 AM" 446.35 448.13 445.07 447.72 4683526 "2/4/2022 10:00 AM" 447.71 448.31 446.24 447.19 2982668 "2/4/2022 10:15 AM" 447.17 447.98 446.33 447.78 3089117 "2/4/2022 10:30 AM" 447.78 448.72 446.01 446.07 3021372 "2/4/2022 10:45 AM" 446.08 446.97 444.83 445.2 2966946 "2/4/2022 11:00 AM" 445.19 445.43 444.22 444.7 2828728 "2/4/2022 11:15 AM" 444.71 445.33 443.94 444.1 2647216 "2/4/2022 11:30 AM" 444.12 446.22 443.83 445.83 2933104 "2/4/2022 11:45 AM" 445.83 447.16 445.6 446.98 2620495 "2/4/2022 12:00 PM" 446.98 447.86 446.72 446.84 2253048 "2/4/2022 12:15 PM" 446.86 447.66 446.45 447.32 2064838 "2/4/2022 12:30 PM" 447.34 447.76 447.05 447.42 1529748 "2/4/2022 12:45 PM" 447.47 448.28 446.86 448.09 2053262 "2/4/2022 1:00 PM" 448.08 448.63 447.8 448.56 1883366 "2/4/2022 1:15 PM" 448.56 450.21 448.55 449.83 3722771 "2/4/2022 1:30 PM" 449.84 450.39 449.39 449.75 2211489 "2/4/2022 1:45 PM" 449.76 450.83 449.6 450.71 2088548 "2/4/2022 2:00 PM" 450.71 450.74 449.92 450.64 2288371 "2/4/2022 2:15 PM" 450.65 450.82 449.59 449.99 2381222 "2/4/2022 2:30 PM" 450 450.35 449.32 450.01 2349869 "2/4/2022 2:45 PM" 450.02 451.14 449.85 450.39 2695516 "2/4/2022 3:00 PM" 450.38 451.09 450.05 451.06 2151112 "2/4/2022 3:15 PM" 451.06 452.78 451.03 452.53 3822167 "2/4/2022 3:30 PM" 452.53 452.63 451.65 451.88 2942642 "2/4/2022 3:45 PM" 451.88 452.56 450.72 450.85 3905162.9999999995 "2/4/2022 4:00 PM" 450.84 451.04 448.58 448.73 9146192
If you're getting data from IB, there should not be a difference (their server farm could have a server with different data, but I've never seen that). If there is a difference, please post it.
Your Response
Post
Edit Post
Login is required