erroneous values on multiple time frame in bar replay

[techlord]

Im attempting to write a framework for multiple time frame studies. When i have the study running in real time it works properly (pulling moving average prices from multiple time frames)

However,

When i try to run the study in bar replay mode, if i attempt to pull anything other than the current charted time frame, it returns the most recent price for that study (instead of the one in reference to wherever i am in bar replay mode.

Example:

function main () {
var cable5 = close(sym("GBP A0-FX,5")); // the symbol
var cable30 = close(sym("GBP A0-FX,30")); // the symbol

var len1 = 5; // length for the trigger ma
var len2 = 50; // length for the long ma
var len3 = 100; // length for the trend ma

trig_study = sma(len1, cable5);
long_study = sma(len2, cable5);
trend_study = sma(len3, cable5);

trig30_study = sma(len1, cable30);
long30_study = sma(len2, cable30);
trend30_study = sma(len3, cable30);



// 5 min on cable
trigma = trig_study.getValue(0);
longma = long_study.getValue(0);
trendma = trend_study.getValue(0);

// 30 min on cable
trig30 = trig30_study.getValue(0);
long30 = long30_study.getValue(0);
trend30 = trend30_study.getValue(0);

return new Array(trigma, longma, trendma,trig30,long30,trend30);
}



My chart is set on the 5 minute period. In real time the code works fine. In bar replay mode, the trig30 studies being returned are from the current price rather than the price that would be from that period in bar replay.


What should i be doing to retrieve bar replay based values?

thanks in advance
-=tam

[eSignal_JasonK]

Hello techlord,

Make sure your time template is not set to load a specific number of bars. This is an existing bug known as EDL #11169 in our system that is the likely cause of what you are seeing. Try changing your time template to a set number of days or dynamic and try it again. Please let me know if that corrects the replay.

[techlord]

I am alreading using a specific time template for 120 days. (the maximum number of back days i can go if im not mistaken).

This is really weird because close() in bar replay mode always pulls from the current mode.. (as opposed to getMostRecentBid or getMostRecentAsk)

This is kind of a huge thing as it means I cant do multi time frame backtesting at all unless im missing something. My only alternative is to write routines to generate moving average studies myself instead of using the efs2 sma object. A lot of extra work..

Any other thoughts?


thanks
-tam

[eSignal_JasonK]

Hello techlord,

I tested your code yesterday and it worked fine. You may not have the time template setup correctly. Please post an image of your current settings and I'll test it again. Also, what is the version and build number you are currently using?

The getMostRecent functions do not have access to historical data. They can only be used in real time.

[techlord]

Jason,

If it is working correctly for you, Can you please send me the script you are using as well as your time template (configuration). I will attempt to mimic what you are using.

I am using esignal version 7.91 build 738 release 9/12/2005


-tam

[eSignal_JasonK]

Hello techlord,

We're using the same version, good. The code I used was the code you posted at the beginning of this thread with the identifiers properly initialized.

function preMain() {
    //setPriceStudy(true);
    setShowCursorLabel(false);
}


function main () {
    var cable5 = close(sym("GBP A0-FX,5")); // the symbol
    var cable30 = close(sym("GBP A0-FX,30")); // the symbol
    
    var len1 = 5; // length for the trigger ma
    var len2 = 50; // length for the long ma
    var len3 = 100; // length for the trend ma
    
    var trig_study = sma(len1, cable5);
    var long_study = sma(len2, cable5);
    var trend_study = sma(len3, cable5);
    
    var trig30_study = sma(len1, cable30);
    var long30_study = sma(len2, cable30);
    var trend30_study = sma(len3, cable30);
    
    
    
    // 5 min on cable
    var trigma = trig_study.getValue(0);
    var longma = long_study.getValue(0);
    var trendma = trend_study.getValue(0);
    
    // 30 min on cable
    var trig30 = trig30_study.getValue(0);
    var long30 = long30_study.getValue(0);
    var trend30 = trend30_study.getValue(0);
    
    return new Array(trigma, longma, trendma,trig30,long30,trend30);
} 

Here's the time template settings I used. I also tested 120 days and it worked properly as well.

[techlord]

I think i know what is going on now. When i have a 5 min 120 template loaded, and when my efs is calling the sma object referencing a 30 min timeframe, since i am NOT using a 30 min 120 day template, it simply cannot do it and defaults to real time data.

This might be less of a bug and more of a limitation by design. The only logical way around this (that i can see) is to design my own object that calculates higher time frames based on the current time frame (ie have a function that generates 30 min bar closes by multiplying 5 * 6. Maybe save every 6th bar into an array and process them).

I dont suppose there is some way to have the sma/ema object force load a specified time template? or maybe have some kind of 120 day template that contains both 5 min and 30 min interval data?

Im sure im not the first person to run into this. Does anyone else have a solution or workaround?

BTW Jason, the couple times i thought i had this working were in error. I mistakenly had a chart setup for GBP A0-FX 30 min 120 day, then in the efs, am directly referencing 5 and 30 intervals in the sma calls. Obviously the smaller timeframe wont plot correctly when you are configured with a higher interval.

In case this helps, I have included a screen shot of my setup.


PS: I just saw the GIF you posted as i was posting this message and noticed you are NOT plotting as a price study. Do you think that could be a reason this is not working? (look at my screenshot, I am plotting on the price). Will try your way shortly.


Thanks

-=t

[eSignal_JasonK]

Hello techlord,

Plotting as a price or non-price study would not make a difference.

I dont suppose there is some way to have the sma/ema object force load a specified time template? or maybe have some kind of 120 day template that contains both 5 min and 30 min interval data?

Yes there is. However, if the time template you are using on the 5-minute chart has an intraday default set to Dynamic it should work just like it does in the animation I previously posted. That is what I had in the time template used for that example. To force the 30-minute interval to load 120 days of data you simply specify those settings in the time template for that interval in the same time template that you are using on the 5-minute chart as follows.



If this doesn't solve the problem, post an image of your time template that you are using on the 5-minute chart like the image above.

[techlord]

Jason!

That did the trick.. per your illustration, i simply added both the 5 min 120 day and the 30 min 120 day configuration to a SINGLE template (before I had 2 templates... one with the 5min /120 day, the other with 30min/120 day)..

The framework is working perfectly now. .. Take a look:


Also, I have attached a screen shot with my current time template settings. (maybe they will help someone else)..

Thanks again for your prompt assistance!

-=t

[techlord]

Hmm.. looks like i can only attach one image per post. Here is what my multi time frame study looks like now that it is working:



Thanks again for your help!
-=t