Daily and Intra-day synchronization
Author: kbellare
Creation Date: 11/25/2013 1:40 AM
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kbellare

#1

11/25/2013 1:40 AM

I tried plotting a Daily Open series (using Fidelity data, US stock) on a intraday 30-min scale after synchronizing it.
- Note (in attached screenshot) that the Daily Open doesn't coincide with the Open of the first 30-min bar.
- Also, why doesn't the Daily scale start at 9:30am and end at 4pm? It starts middle of hte day and ends the next day.

Same issue with synchronizing and plotting a 60min Open() series (IQFeed Futures symbol) on a 10min Open chart

Below is code for both

CODE:
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kbellare

#2

11/25/2013 1:49 AM

Attached this time - screenshots of Daily and 60min synchronization - Open isnt coinciding with lower interval Open.
Pl advise how to fix this, as its critical to make multi-timeframe strategies work.

thx
Kiran

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Eugene

#3

11/25/2013 2:28 AM

The Daily Open is plotted correctly and coincides with the Open of the previous day during current session. The compressed value changes when the last bar of day has formed. You can control this behavior as explained in the Wiki:

Intraday / Multi-Time Frame | Compressed price series alignment
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