E-mini-S-P-500-Dow-Jones-intraday-daily-data

Hi Cone,
Thanks for your support.
Could you please tell me what are the tickers of E-Mini S&P / Dow Jones futures?
Do I have to look for ES and YM tickers in those data providers that you mentioned in your message?
Thanks in advance.

I think if you go to the DTN (IQFeed) website, they have a symbol lookup for these.
E-mini's are included in the core subscription: @ES# for S&P500 futures; @NQ# for NASDAQ futures; @YM# for Dow futures. Including the # gives you the continuous stream.

For the streaming major indexes, CBOE indexes (e.g. SPX.XO) are $2/mo delayed or $7/mo real-time. NASDAQ indexes (e.g. COMPX.X) are $8/mo real-time only. Dow Jones indexes (e.g. INDU.X) are $5/month. http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support&section=guide&web=iqfeed&guide=mktindices

Every provider has their own symbology for contracts, continuous contracts, and continuous adjusted.

Here's IQFeed's symbol guide: https://ws1.dtn.com/IQ/Guide/
For example, @ES# is the continuous contract and @ES#C is a back-adjusted continuous contract. Then, of course, individual quarterlies contracts using the month/year symbology, e.g., @ESZ23, @ESH24, etc.

Hi Cone,

I´m trying to run this backtest below but I´m facing difficulties.
Could you please support me?

The strategy is:
Time frame: 60 min candle

Buy in the close of the Candle that crosses above the EMA9, if this candle is also above the SMA200.

Sell in the close of the Candle that crosses below the EMA9.

Important: I would like to run this strategy in the Russell Index (I´ve uploaded the Dukascopy data - USSC2000.IDX), but only considering the Regular Trading Hours (from 9:30 am to 4pm NY time) and excluding all the candles outside this range, since they will impact the result of the EMA9 and the SMA200. Is it possible to build this strategy in the building blocks?

Finally, when I see the hours in the chart, I´m seeing the local hours (in my case Brazil) or in the hour of the asset?
If I see the local hours, how do I change it?

Thanks in advance.
Best regards.
Fernando.

Is there a practical sense to using AtClose orders with intraday 60-minute bars or you could switch to Market orders?

Hi Eugene,

Actually it has to switch to Market order, like Buy at next bar at Market close, I believe.

Thanks

QUOTE:
Is it possible to build this strategy in the building blocks?

Sure. Have you tried it? Where did you get stuck?

Re: data
I'm not familiar with Dukascopy data. If they're giving you U.S. Market data with timestamps in your time zone, then there's probably an option to change it to the market's time zone.

Once you have the correct Market identified (U.S. Stocks), then just run the strategy with the Filter Pre/Post option checked so that only data between 0930 and 1600 will be loaded.

And, like Eugene said, there's absolutely no reason to choose "At Close" orders for an intraday strategy - except to exit (or enter) a trade specifically at the close of the market session.

I concur, use Buy Next Bar at Market OPEN.

Hi Cone,

I have checked the option "Filter Pre/Post Market Data" using the Dukascopy Russell index data but it didn´t work.

I was trying to import the TradingView data into the wealthlab using the ASCII file (csv), but it´s not working either.
I will send you the image of the ES (emini S&P500) csv file of Tradingview.
Could you please help me on upload this TradingView data?

I´ve changed and tested all the Date and Time formats but no one worked.

Thanks in advance.

The DateTime format here is strictly custom. Fortunately, WL supports any imaginable custom formats with .NET's custom date/time format strings. Try to define your Date format as follows:

yyyy-MM-ddTHH:mm:ss.zzz

Make sure to not add a Time field, there's none.