Apologies! I hadn't picked up on this. I will investigate this further in the way you suggest. And to answer your question ... Until starting this thread (and another on a related topic), I used my broker (MBT) for real-time data, and eSignal for historical data (including backtests). I trade US equities intraday. I have now switched to eSignal for both real-time and historic data. As thstart points out, this means that my trade orders will be operating against prices (i.e. my broker's) that are different from those (i.e. eSignal's) generating entry/exit signals, but I can live with this for now ....
And thstart, you are very very wrong here. Please read my previous comments, OHLC is just a visual representation of a group of types. Maybe the word "group of types" is to abstract for you, I will try to explain. A type can be for instance a time, volume, range etc. I bet you know them as ChartTypes. A group is taking ticks into some sort of an interval and type. Interval can be 5 min, 1 hour, 1 day, 1 week etc. You cannot say the OHLC is for EOD, OHLC charts has the exact same functionality as i.e. candlestick charts. Both has the same grouping methodology but differs in visualization. However for these 2 the difference is very little, candlesticks has open, high, low close and vise verso. - Exactly the same as candlesticks, they represent the same, but with different visualization, please see above. thstart -> Please be specific here "For intraday there other ways. "?
First off, I'm not talking about any specific instrument. Second, you've completely contradicted yourself here. You started this in a previous post that intraday bars have no meaning and now you're saying that someone should pay attention to happens during the first trading hour? If the first trading hour has greater significance compared to the rest of the trading day then it stands to reason that someone can benefit by breaking up the trading day into bars so that they can more easily visualize what goes on during that first trading hour. Also, the first trading hour on the NYSE is not the first trading hour for ADRs listed on the NYSE. How does your theory handle that class of stock?
A day, week, month, whatever, is nothing more than an analog to document the passing of time. To put greater significance on one duration over another is nonsense. A monthly or weekly chart is completely irrelevant to a daytrader who scalps and a minute chart is equally unimportant to an institution. But, I sincerely doubt that institutions and hedge funds go about saying 'oh shit, it's [Mon|Tues|Wednes|Thurs|Fri]day, time to [Buy|Sell|Short|Cover]."
IMHO, a better use is to have eSignal up alongside your broker so that you can detect, determine and react to those times when the two data streams are not in agreement.
First trading hour and other intra-day characteristics have nothing to do with intra-day bars or candlesticks. You can visualize and analyze them in many other ways.
Exactly - Daily, Weekly, Monthly charts are analyzed with OHLC. Minute by minute - in that case OHLC has not meaning. You still cannot tell what OHLC means minute by minute. Yes - it is a form of visual representation and you use it because you don't know a better way.
They do. Just a hint - the big orders institutions want to place are not executed with a click of the mouse. They will make a market impact and don't get a good price. Not to mention HFT here. Now there is a pattern how big orders are sliced and placed in the time. And this time is not minute by minute, but can some times take a week but placed at specific time frame during the day. Another example - pay attention to option expiration days - the third Friday of each month. Watch how options are distributed along specific prices and what happens at the week before option expiration. If a day trader knows where the price is going it is easier when he trades intra-day. There are many other Daily, Weekly, etc. dependencies relevant to day trader.
If you've got brokerage statements that supports your position, be my guest. Otherwise, it's just as likely that you're putting up a smokescreen as spite for not being able to use intraday charts profitably.