inv() does not work correctly

[clearpicks]

It seems when using inv() to retrieve daily bar information, the cutoff time is always set to 0 o'clock midnight. Shouldn't it be set to a time according to the trading hour of each product? For example, on YM H8 daily chart, there is a bar for 01/28/07, so if I apply my efs script on YM H8,5 chart, for those 5min bars after 18:00pm today, the returned daily close should be 12236 (the daily close of 01/25 ) instead of 12365 ( the daily close of 01/24 ). Howeve it seems inv() can not process this scenario correctly and returns incorrect value. Scrolling back to 01/13/2007 and it is most clear see why I think inv() is not perfect.

[clearpicks]

the screenshot

[clearpicks]

the screenshot.

[ACM]

Re: inv() does not work correctly

clearpicks
To maintain the synchronization between all intervals the efs engine looks at the date and time of the bars.
Daily (or higher interval) bars are time stamped as 00:00 and not with the session start time hence the engine uses that time to align the plots across all intervals that reference the daily (or higher) time frames
In order to align the plot to the beginning of a session the daily bar would need to use that as the time stamp. You may want to submit a suggestion by selecting Customer Support-> Make a Suggestion from the main menu of the eSignal application.
Alex

Originally posted by clearpicks
It seems when using inv() to retrieve daily bar information, the cutoff time is always set to 0 o'clock midnight. Shouldn't it be set to a time according to the trading hour of each product? For example, on YM H8 daily chart, there is a bar for 01/28/07, so if I apply my efs script on YM H8,5 chart, for those 5min bars after 18:00pm today, the returned daily close should be 12236 (the daily close of 01/25 ) instead of 12365 ( the daily close of 01/24 ). Howeve it seems inv() can not process this scenario correctly and returns incorrect value. Scrolling back to 01/13/2007 and it is most clear see why I think inv() is not perfect.

[clearpicks]

Re: Re: inv() does not work correctly

Alex,

So the bars on daily chart are construct in the same way except that the close prices use the daily session close prices reported by the exchange right? On intraday charts, at arround 17:00pm EST every day, there is a fake bar for many futures symbols, which I think is the session closing price reported by the exchange (in perticular CME). These fake bars should not be drawn on intraday charts. Am I right?

- Clearpicks

Originally posted by Alexis C. Montenegro
clearpicks
To maintain the synchronization between all intervals the efs engine looks at the date and time of the bars.
Daily (or higher interval) bars are time stamped as 00:00 and not with the session start time hence the engine uses that time to align the plots across all intervals that reference the daily (or higher) time frames
In order to align the plot to the beginning of a session the daily bar would need to use that as the time stamp. You may want to submit a suggestion by selecting Customer Support-> Make a Suggestion from the main menu of the eSignal application.
Alex

[ACM]

Re: Re: Re: inv() does not work correctly

clearpicks

So the bars on daily chart are construct in the same way except that the close prices use the daily session close prices reported by the exchange right?

The daily bars always include the settlement if that is what you are asking.

On intraday charts, at arround 17:00pm EST every day, there is a fake bar for many futures symbols, which I think is the session closing price reported by the exchange (in perticular CME).

If you are referring to the settlement the time at which it is transmitted by the exchange will depend on the security. In the case of the CME e-mini futures (ie ES, NQ) this is usually transmitted at around 16:25

These fake bars should not be drawn on intraday charts. Am I right?

Personally I think the settlement should be included in the intraday charts as that allows to match them with the daily charts however feel free to submit your suggestion to eSignal using the Make a Suggestion tool provided in the application
Alex

Originally posted by clearpicks
Alex,

So the bars on daily chart are construct in the same way except that the close prices use the daily session close prices reported by the exchange right? On intraday charts, at arround 17:00pm EST every day, there is a fake bar for many futures symbols, which I think is the session closing price reported by the exchange (in perticular CME). These fake bars should not be drawn on intraday charts. Am I right?

- Clearpicks