custom spread inconsistencies

[checkraise]

The user-defined spread ((2 * AB U5) - (ES U5)) / 2 on a 15-min chart with 24-hour time-template shows that the high-of-day occured at 57.45 on 8/31/05 on the 14:45 bar.

But the same spread on a daily chart with 24-hr time template shows for 8/31/05 the high-of-day is 56.27 .

There are also discrepancies for the daily low and close. Changing the time template does not correct the discrepancies, and discrepancies seem to exist for every day.

How can I make the daily bars agree with their respective intraday bars?

I am using 7.91 732

[ACM]

checkraise
On intraday intervals the spreads are based on 1 minute bars. On a 1 minute chart the highest value of your spread occurred at 14:58 (ie on the 14:45 bar of a 15 minute chart) when the High of AB was 665.20 and the High of ES was 1215.50 hence
((2 * 665.20) - 1215.50) / 2 = 57.45
Irrespective of the intraday interval used the highest value of your spread on 8/31 will be 57.45 and will always fall on the bar that includes the 14:58 time stamp.
On daily (or higher interval) charts instead spreads are based on the OHLC values of the corresponding bars. On 8/31 the daily High of AB was 668.40 while that of ES was 1224.25 hence
((2 * 668.40) - 1224.25) /2 = 56.27
The same math and logic applies to the other values of OHLC.
The reason for the difference between daily and intraday data is due to the fact that daily data is retrieved from the History Servers which do not store intraday data (that is on the Tick Servers) therefore the spreads can only be calculated on the individual bar(s). With intraday data instead the spreads can be calculated on the 1 minute interval thereby providing consistency across all intraday intervals.
Alex

[checkraise]

Thanks for the clear and complete explanation Alex.

I changed the time template to correspond with the day session at CME for indices, then changed the time interval to 405 minutes, which is how long the day session lasts. Now the 405-min "daily" chart seems to agree with the intraday 15-min.

[ACM]

checkraise
You are most welcome.
Yes that would work because a 405 minute bar would be using the 1 minute resolution to calculate the spread.
Alex