First-Bar-of-the-day-in-Strategy-Monitor

2022-01-12T15:50:33Z - 2022-01-12T15:50:33Z ago

First Bar of the day in Strategy Monitor

Hello,

The code below simply tries to find first bar and market open of the day for use with intraday scales in SM. However, it only works correctly if activated after market open (9:30). Before open activations return wrong numbers. I have tried different scales (1 min & 5 min) and different data range (100 bars & 500 bars) but all return the same wrong results.

Is there anything missing here?

Thanks.

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Drawing;
using WealthLab.ChartWPF;
using System.Collections.Generic;
using System.IO;

namespace WealthScript12 
{
   public class MyStrategy : UserStrategyBase
   {
      //create indicators and other objects here, this is executed prior to the main trading loop
      public override void Initialize(BarHistory bars)
      {
         
      }

      //execute the strategy rules here, this is executed once for each bar in the backtest history
      public override void Execute(BarHistory bars, int idx)
      {
         if (bars.IsLastBarOfDay(idx))
            lastBarYesterday = idx;
         
         if (bars.IsFirstBarOfDay(idx))
            startBarToday = idx;
         
         //if (bars.IntradayBarNumber(idx) == 0)
         //   startBarToday = idx;

         yesterdayClose = bars.Close[lastBarYesterday];
         todayOpen = bars.Open[startBarToday];

         Transaction t = PlaceTrade(bars, TransactionType.Sell, OrderType.Limit, todayOpen, String.Format("{0:f2} -", todayOpen)+bars.DateTimes[startBarToday].ToString());
         
      }


      //declare private variables below
         
      int startBarToday;
      int lastBarYesterday;
      double todayOpen;
      double yesterdayClose;
   }
}

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Replikant_m8

2022-01-12T16:31:03Z - 2022-01-12T16:31:03Z ago

As for my experience, this functions deal with market settings - open and close time. Sometimes it does not correlate to what you want - premarket, postmarket or something. I prefer to use manual checks, like if this bar date != previous bar date - this bar is the first bar of the date. The same for last bar, but you should compare current bar date and next bar date.

Replikant_m8

2022-01-12T16:39:33Z - 2022-01-12T16:39:33Z ago

Mm, it's about Strategy Monitor, so comparing to the next bar will not work). But first bar of the day will still work.

Cone8

( 4.98% )

2022-01-12T17:41:25Z - 2022-01-12T17:41:25Z ago

You can use these functions on any bar in your strategy to return to determine if it's the last or first bar of that day - the day for the index.

If you need to know if it's the first bar of "today" as in DateTime.Now.Date, then you can condition it further, for example -

CODE:
         if (idx != bars.Count - 1)         
            if (bars.IsLastBarOfDay(idx) && bars.DateTimes[idx + 1].Date == DateTime.Now.Date)
               lastBarYesterday = idx;

         if (bars.IsFirstBarOfDay(idx) && bars.DateTimes[idx].Date == DateTime.Now.Date)
            startBarToday = idx;

Some things to keep in mind:
1. Time zones. If your computer is in another time zone far away from the market's time zone, you'll need to make another adjustment for the dates to match properly.
2. This will only work for "today" - you'll need to add more logic if you need your backtest to work for previous days.
3. You'll need to make another adjustment if you really need lastBarYesterday to be true for "today's last bar".