Time Templates for Daily Charts

[mbuta]

Is there a way to force eSignal to obey time constraints specified in Time Templates for daily open/close?

For whatever reason, daily charts go automatically in dynamic mode and, I assume, same thing happen with daily data when "D" is an external interval in an otherwise intraday chart.

This introduces significant errors, because "stray" trades in after market will alter only the daily indicators.
For example: sma(3,inv("D")), sma(3x7,inv(60) and sma(3x13,inv(30)) should produce close enough results.

Whereas inv(30) and inv(60) results are almost identical [as expected], inv("D") is consistently way off.

Tracing the problem, I concluded that the only reason can be that the open/close for daily bars are way diferent from 30/60 bars at the close of the day.

How can this problem be fixed?
Thank you.

[ACM]

mihai
In eSignal the daily bars always include all the regular trading hours session and the Settlement for stocks and indices and all the sessions [including any overnight trading] and the Settlement for futures and forex.
So for example with US stocks they include all the trading that occurs between 9:30 and 16:00 ET (and the Settlement which is usually transmitted shortly after 16:00). With futures they include all the trading sessions for the instrument. As an example the daily bar of ES includes all the data from the start of the session (which is at 15:30 CT of the day prior to the trade date) to 15:15 of the trade date and the Settlement which occurs in general at 15:20 CT.
It is not possible to set the Time Template to Start/End a daily bar based on user defined times. The daily bar is by default set to the trading times specified by the exchange for that instrument.

For whatever reason, daily charts go automatically in dynamic mode and, I assume, same thing happen with daily data when "D" is an external interval in an otherwise intraday chart.

Dynamic mode actually has nothing to do with Start/End times in a Time Template. It refers instead to how many days or bars a Time Template is set to load for the specified interval. This can be set for the daily interval by adding to the Time Template a User Defined interval for D (or d) and then specifying how many days or bars are loaded for that interval.
Dynamic means that the setting for that interval is 0 (or was not specifically defined hence it defaults to 0) and that the chart will load more bars as it is scrolled backwards.

This introduces significant errors, because "stray" trades in after market will alter only the daily indicators.

I am not sure what you mean with this. Perhaps you may want to provide a specific example of a daily bar that includes "stray" trades that would affect an indicator.

For example: sma(3,inv("D")), sma(3x7,inv(60) and sma(3x13,inv(30)) should produce close enough results

Not necessarily. This will depend on what instrument you are plotting (stock, future, forex) and what symbol for that instrument.
If for example you are using ES #F then there are twentyfour 60 minute bars in the times covered by the daily bar and not seven as in the expression you are using for the length of the sma() function. This is because [as explained above] the daily bar of ES includes all the trades starting from 15:30 CT of the day prior to the trade date to 15:15 of the trade date.
If you instead used the ES #F=2 symbol then that would cover only the trades occurring between 8:30 and 15:15 CT and you will probably find that your averages will track the equivalent daily values more closely. You can find an in-depth explanation of this in this post.

Tracing the problem, I concluded that the only reason can be that the open/close for daily bars are way different from 30/60 bars at the close of the day.

See the explanation at the prior point and in the linked thread.

How can this problem be fixed?

If you are referring to futures such as ES, NQ, AB, etc you can use the symbol with the =2 extension which will cover the trades only for the pit session of the equivalent full sized contract
Alternatively you can create a User Defined interval for a specific number of minutes that corresponds to the same times you are including in your 30, 60, etc intraday charts. For example you could create a 405 minute User Defined interval with Start/End times of 8:30/15:15 CT (or equivalent depending on your timezone) which would correspond to the same times of your other intraday charts.
If you are instead referring to other instruments then you may want to provide some specific information as to what symbol(s) you are plotting and how your time templates are set up (including screenshots that illustrate the issue).
Alex

Originally posted by mbuta
Is there a way to force eSignal to obey time constraints specified in Time Templates for daily open/close?

For whatever reason, daily charts go automatically in dynamic mode and, I assume, same thing happen with daily data when "D" is an external interval in an otherwise intraday chart.

This introduces significant errors, because "stray" trades in after market will alter only the daily indicators.
For example: sma(3,inv("D")), sma(3x7,inv(60) and sma(3x13,inv(30)) should produce close enough results.

Whereas inv(30) and inv(60) results are almost identical [as expected], inv("D") is consistently way off.

Tracing the problem, I concluded that the only reason can be that the open/close for daily bars are way diferent from 30/60 bars at the close of the day.

How can this problem be fixed?
Thank you.

[mbuta]

Alex,

Thank you for the detailed response.
I have no doubt that what you say is what "the book" says should happen, but reality nis diferent and that is why I raised the issue.

For example, GS on 9/26 and 9/27:
On 9/26 the last bar of 5/15/60 min chart reposrt close = 214.80, but 60min charts reports c=214.30 and daily chart reports c=214.61.
On 9/27 the 5/15/30 min charts report 216.95, but 60min c=214.61 and on daily chart c=216.78.

Looking in the after-market, you will see that what 60min and daily charts report are NOT the official close, but marely the last trade before the hour [@13:20-13-29] for the 60 min chart and last trade before 16:00 [15:55] for the daily chart.
NOTE: I am in California and those are CA times [EST+3].

What I called "stray trades" are exactly these after-market trades, that eSignal reports are closing prices for 60min and daily chart, although my Time Template says clearly to stop at 13:00 [when market closes].

If there is a way to eliminate this and have same closing price on all chart, I would really apprecuiiate the help, but unless there is a setting somewhere which I missed, it is a problem that eSignal might want to address as a bug.

Thank.

[ACM]

Mihai
I see what you are referring to. That is due to the fact that eSignal does not truncate an interval based on the End time set in the Time Template so the 60 minute bar of 15:30 ET will include all data from 15:30:00 to 16:29:59 ET. This is by design.
I believe some users have requested this be changed and as far as I know eSignal has indicated that it will look into this for a future release (for the details see the reply by Jay Frank in this post).
You may want to submit your suggestion by sending an email to [email protected]
The only solution I can think of at this time is to use an interval that fits exactly in the trading session. The closest one would be 65 minutes which would give you 6 bars per day all covering the same exact time span and a Close that matches your other intraday intervals. This should allow you to calculate your pseudo-daily moving average with a closer approximation.
With regards to the Close of the daily bar keep in mind that it may be different from that of an intraday chart that ends at 16:00 ET because by default the daily bars include the Settlement which is usally transmitted some time after the close of the regular trading hours session. If you want to try to replicate the daily bar without the Settlement you can do that by defining an intraday interval of 390 minutes with Start/End times of 9:30/16:00 ET (or equivalent id in a different timezone)
Hope this helps
Alex

Originally posted by mbuta
Alex,

Thank you for the detailed response.
I have no doubt that what you say is what "the book" says should happen, but reality nis diferent and that is why I raised the issue.

For example, GS on 9/26 and 9/27:
On 9/26 the last bar of 5/15/60 min chart reposrt close = 214.80, but 60min charts reports c=214.30 and daily chart reports c=214.61.
On 9/27 the 5/15/30 min charts report 216.95, but 60min c=214.61 and on daily chart c=216.78.

Looking in the after-market, you will see that what 60min and daily charts report are NOT the official close, but marely the last trade before the hour [@13:20-13-29] for the 60 min chart and last trade before 16:00 [15:55] for the daily chart.
NOTE: I am in California and those are CA times [EST+3].

What I called "stray trades" are exactly these after-market trades, that eSignal reports are closing prices for 60min and daily chart, although my Time Template says clearly to stop at 13:00 [when market closes].

If there is a way to eliminate this and have same closing price on all chart, I would really apprecuiiate the help, but unless there is a setting somewhere which I missed, it is a problem that eSignal might want to address as a bug.

Thank.

[mbuta]

Alex,

Thank you. I will try the 390 minutes for daily, although this introduces delays in processing [and seems occured, lol], but it's ok.
I don't think I will use the 65min, though [does not fit with any other lower interval i use: 5/15/30].

Best Regards,

[ACM]

Mihai
You are most welcome
Alex

Originally posted by mbuta
Alex,

Thank you. I will try the 390 minutes for daily, although this introduces delays in processing [and seems occured, lol], but it's ok.
I don't think I will use the 65min, though [does not fit with any other lower interval i use: 5/15/30].

Best Regards,