Different ways to "cut" bars

Discussion in 'Strategy Development' started by TraderD, Aug 25, 2006.

  1. TraderD


    Normally, when looking at daily data we are at the hands of data provider. They "cut" daily bars according to contract specs. For example, CME forex contracts start at 17:00 Easter and end at 16:00 Eastern next day. Well, what if I want my bar to start 00:00 and end at 00:00 next day, or at some other time? Or 6:00 till 6:00?

    you are looking at data in a slightly different way then other people do. Also, you setups may fire more often.

    This can be achieved by using 1440 (24hr) min bars and shifting time zones on computer /server.

    My problem:
    My data provider is eSignal. I was not able to achieve all desired results with them. Specifically - shifting time zones on the computer. Data gets lost in the process - bars come out with gaps where gaps should not be. I also tried Ensign with eSignal as data feed - same deal. I even pushed eSignal for a fix - they admitted the problem, promised but have not delivered.

    if anybody is already doing this, can you please suggest combination of datafeeds/charting packages? Hope this was clear, should be clear enough for those already doing it.

  2. If you have a sophisticated charting program you are not limited to 24 hr. bars either, you can also make 36 hour bars for example...
  3. TraderD


    Good to know. What program are you refferring to? Have you tried to cut data this way? No gaps? have you tried to shift time zones on computer or software? Same 24/36hr bars can start at different times of the day.
  4. I spoke with a trader in New York that worked with this. I have tried manually do an "open high low close" in excel manually. You get interesting results to say the least. Coupled with Heiken-Ashi charts, it is rather surprising.

    I PM'd you with a charting program that I knew of, that would automate this.

    Think "outside" of the box, to capture excess out of cycles.

    Michael B

  5. The feature you are expressing interest in is completely capable with CQG Professional . From out Help file on the subject............


    From the Sessions tab, you can indicate which session(s) will be included in the chart. These sessions represent standard business hours (as stated in the user's local time) of the region. You may wish to use these as the framework for creating custom sessions, or you can create entirely new custom sessions. In addition, you can assign custom sessions to be the default sessions for a symbol.

    In addition to creating entirely new sessions, you can split existing sessions into different components.

  6. TraderD


    Have you actually tried it? If you call right now to eSignal they will say that they can do it [they have some session management features similar to described by you, one can create custom sessions], but will fail in my scenario.

    I am looking for info from people who have actually tried to do what I am describing:
    1) create 24hr+ sessions
    2) shift start of the session at will w/o creating gaps due to loss of data

    Not familiar with this software but willing to try if it delivers. Thanks!
  7. Caviot......

    CQG is capable of 1439min or 24 hr chart as the case may be.

    Through our API, you can generate the data needed to create charts > 24 hours.
  8. cqg,

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  9. TraderD



    Still looking for more info.
  10. TraderD


    Bumping it up.

    BTW, this topic is not widely discussed in most of books which puts it into category of original ideas (not mine, got it from POP).
    #10     Aug 27, 2006