WealthLab 8 Build 18
Streaming data provider IQFeed.
I use 78 minute time frames for some strategies. The first bar of the day ends at 10:24 instead of 10:48 when using a 78 minute custom time frame. The remaining bars of the day are 78 minutes apart. The offset from correct time for first bar is different for different custom time frames. For example, 7 minute custom time frame gives a starting bar ending at 9:34.
Streaming data provider IQFeed.
I use 78 minute time frames for some strategies. The first bar of the day ends at 10:24 instead of 10:48 when using a 78 minute custom time frame. The remaining bars of the day are 78 minutes apart. The offset from correct time for first bar is different for different custom time frames. For example, 7 minute custom time frame gives a starting bar ending at 9:34.
Rename
Logged. We'll see what we can do.
Thanks
Okay, this is working by design.
If you request all intraday data, its reference is midnight. Those bars will be timestamped:
01:18
02:36
03:54
05:12
06:30
07:48
09:06
10:24
11:42
etc.
However, by using the Regular Session Only option, bars will be relative to the market opening time - so you'll get...
10:48
12:06
13:24
14:42
16:00
You should refresh your history (Delete Local Files) after switching this option. At least delete the "78 Minute" folder of data. It won't have a big effect on most of the other intervals.
If you request all intraday data, its reference is midnight. Those bars will be timestamped:
01:18
02:36
03:54
05:12
06:30
07:48
09:06
10:24
11:42
etc.
However, by using the Regular Session Only option, bars will be relative to the market opening time - so you'll get...
10:48
12:06
13:24
14:42
16:00
You should refresh your history (Delete Local Files) after switching this option. At least delete the "78 Minute" folder of data. It won't have a big effect on most of the other intervals.
OK. I checked the regular session only box for IQFeed in Data Manager/Historical Providers. I deleted the saved data. I am updating the data, and will retry after the update.
Thanks for your quick reply.
Thanks for your quick reply.
I don’t believe checking Regular Session Open is required, is it? You simply have to select Filter Pre/Post in the chart or strategy.
RSO is required for what is being requested.
Filter Pre/Post is WealthLab's date filter. In other words, all data is requested and WealthLab filters it later.
Regular Session Only for IQFeed has several special functions, but one of them is requesting data starting from the market open, i.e., 09:30. This request causes IQFeed to anchor the intervals to the market open start time.
It doesn't matter for intervals that regularly fall on both the half and full hour marks. Both it matters for all other intervals that do not.
Filter Pre/Post is WealthLab's date filter. In other words, all data is requested and WealthLab filters it later.
Regular Session Only for IQFeed has several special functions, but one of them is requesting data starting from the market open, i.e., 09:30. This request causes IQFeed to anchor the intervals to the market open start time.
It doesn't matter for intervals that regularly fall on both the half and full hour marks. Both it matters for all other intervals that do not.
Oh, IQFeed handles these 78-minute requests by itself, WL doesn't compress them for this Provider. Got it.
I had the filter pre/post checked in the chart.
And as I explained, we know that doesn't work for this purpose. The User Guide is explicit about Regular Session Only and there's a reason why it exists for IQFeed.
If we changed the IQFeed provider and restricted it to only support certain intervals like 1, 5, 10, etc and have WL8 build the remaining intervals like, it could work. I guess there are pros and cons to both sides.
I followed Cone's recommendations. 78 minute intervals work fine now. I had unchecked regular session only so that I could watch how the security was behaving in the pre-market. Watching the behavior did not change how I traded during the regular session, so checking the regular session only box was a non issue to me.
Thanks for all your help on this.
Thanks for all your help on this.
Your Response
Post
Edit Post
Login is required