Hello.
I need to create an hourly block-based strategy to generate signals 8:30 in order to get an updated limit price. This is because, despite I am swing-trading, if I use daily bars it takes previous day close bar as a reference and if there was a strong movement outside regular market hours, it would generate overpriced limit buys (or downpriced limit sales).
The problem I need to solve is that starting with a simple "Buy at Market" (just to try, then I will change it to a Limit Order) when "time of day is equal to" I am not getting any signals before 11:00. Filtering Pre/Post Market Data is off. Pre/Post Market Trading is on.
Thank you in advance.
I need to create an hourly block-based strategy to generate signals 8:30 in order to get an updated limit price. This is because, despite I am swing-trading, if I use daily bars it takes previous day close bar as a reference and if there was a strong movement outside regular market hours, it would generate overpriced limit buys (or downpriced limit sales).
The problem I need to solve is that starting with a simple "Buy at Market" (just to try, then I will change it to a Limit Order) when "time of day is equal to" I am not getting any signals before 11:00. Filtering Pre/Post Market Data is off. Pre/Post Market Trading is on.
Thank you in advance.
Rename
What's the point about 0830 if the strategy doesn't trigger until 1030 anyway?
There's no exit rule, so the only way you can run this Strategy (as shown) to generate signals is to run it with Multiple Positions selected.
There's no exit rule, so the only way you can run this Strategy (as shown) to generate signals is to run it with Multiple Positions selected.
QUOTE:
What's the point about 0830 if the strategy doesn't trigger until 1030 anyway?
It's just an example to show the problem I want to solve, therefore there's no exit:
I just want to have a signal at 8:30 US Eastern Time. With this simple example strategy I am not getting signals until 11:00. In the example I specified buying at market at 10:30 and I got no signal, even though US markets are open.
The time you're specifying is the time of the bar in the market's time zone. It's not 1030 yet.
QUOTE:
The time you're specifying is the time of the bar in the market's time zone. It's not 1030 yet.
Yes, so it's open already because it opens at 9:30 market time zone, but I am not getting any signal unless I change the condition to 11:00 or later and that's what I want to solve
The market opens at 9:30, and you’re wondering why you get no signals looking for 8:30??
Man, 60 minute bars are always an issue - that's another issue at work here.
What's happening is that with the market filter off, hourly bars align with 12:00am - on the hour (07:00, 08:00, etc.). When the market filter is on, hourly bars start with trading at 09:30 and thus align with the half-hour mark (10:30, 11:30, etc.). Consequently, you can't test for 10:30 with the market filter off - it will never happen.
What's happening is that with the market filter off, hourly bars align with 12:00am - on the hour (07:00, 08:00, etc.). When the market filter is on, hourly bars start with trading at 09:30 and thus align with the half-hour mark (10:30, 11:30, etc.). Consequently, you can't test for 10:30 with the market filter off - it will never happen.
QUOTE:
The market opens at 9:30, and you’re wondering why you get no signals looking for 8:30??
I am with RTH filter off and also "trading pre/post market" on. Maybe I should research time O clock, I used 8:30 because I want to get a sign outside RTH one hour before the opening (RTH is 9:30), but: if it's not possible is not possible.
If you want to trigger the rule for 08:30, set it "equal to 08:30" and use 30-minute bars. As long as there was a trade between 0800 and 0830, the rule will trigger.
Interesting post, I like to jump on here.
If I want to backtest an order exactly 1 hour after market open I would choose the following settings, right?
My server on with WL runs however another time zone, there intraday the market opening would be 5 hours earlier thus 04:30 AM. Now one hour later in addition, 05:30 AM.
Does WL take my server time when backtesting intraday?
Regards Christian
If I want to backtest an order exactly 1 hour after market open I would choose the following settings, right?
My server on with WL runs however another time zone, there intraday the market opening would be 5 hours earlier thus 04:30 AM. Now one hour later in addition, 05:30 AM.
Does WL take my server time when backtesting intraday?
Regards Christian
WealthLab providers timestamp bars at the end of interval and in the market's time zone. Time of Day rules use the data's timestamp, i.e., in the market time zone.
The computer's local time zone does not matter.
QUOTE:No. That rule can only be true with bars timestamped *after* 10:30. The first bar in the regular U.S. session is timestamped 10:30 (so the rule is false for that bar) and the second hourly bar of the day is 11:30, and so on.
If I want to backtest an order exactly 1 hour after market open
The computer's local time zone does not matter.
thanks Cone this is helpful.
Regards Christian
Regards Christian
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