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I am trading spreads (eg long DAX versus short FTSE, on 5 minute bars) and am looking to manage the 'bad data' that arises from one exchange being open whilst the other exchange is closed. Note: this has nothing to do with 'bad tick data' and typically occurs 6 or 7 days per annum.
As I understand it, there are a number of ways (see 3 points below) that this can be tackled and would really appreciate any further input on the subject:
1. Ideal scenario would be to completely remove the 'bad day' from the chart all together, but I do not believe this is possible? This scenario is ideal as it will preserve the accuracy of your technical indicators across the 'bad day'.
2. The next best scenario would be to edit the data using the Bar Editor and force the O/H/L/C of EVERY bar within the 'bad day' to repeat the closing bar of the last 'good day'. Whilst the Bar Editor worked fine in v10.6 for this purpose, it has not yet been facilitated in v11.3 and unfortunately I migrated over to v11.3 a long time ago as the spread data is painfully slow to load in v10.6 and I don't really want to go back if I can help it. This scenario has a limited impact on your technical studies in that it will flatten them out, but not distort them too much.
3. The third best scenario that I can think of would be to create an array of 'bad days' (see attached PDF if you're interested) and then elect to ignore these 'bad days' in your trading strategy. This scenario is not ideal as it really distorts your technical indicators for the following 'good day' but would be far better than nothing at all! I have tried all w/e to do this but have not got very far?!
Thanks in advance for any help!
As I understand it, there are a number of ways (see 3 points below) that this can be tackled and would really appreciate any further input on the subject:
1. Ideal scenario would be to completely remove the 'bad day' from the chart all together, but I do not believe this is possible? This scenario is ideal as it will preserve the accuracy of your technical indicators across the 'bad day'.
2. The next best scenario would be to edit the data using the Bar Editor and force the O/H/L/C of EVERY bar within the 'bad day' to repeat the closing bar of the last 'good day'. Whilst the Bar Editor worked fine in v10.6 for this purpose, it has not yet been facilitated in v11.3 and unfortunately I migrated over to v11.3 a long time ago as the spread data is painfully slow to load in v10.6 and I don't really want to go back if I can help it. This scenario has a limited impact on your technical studies in that it will flatten them out, but not distort them too much.
3. The third best scenario that I can think of would be to create an array of 'bad days' (see attached PDF if you're interested) and then elect to ignore these 'bad days' in your trading strategy. This scenario is not ideal as it really distorts your technical indicators for the following 'good day' but would be far better than nothing at all! I have tried all w/e to do this but have not got very far?!
Thanks in advance for any help!