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Session data vs trade time window

Flyloopz - 29-5-2017 at 02:27 PM

I have just started to run GSB and there is something I do not understand. I want GSB to evaluate a trade window for ES from the open at 8:30 CST to 3:00PM CST. But I also want to supply data to GSB so that it can properly calculate the correct Exponential Moving Averages at the open for example. This would require many bars of data prior to my trade window time in order to have the correctly calculated values at my opening trade window time (in this case at the open of ES). It seems currently there is no way to define a treading start and stop time (other than later on by adding a filter to the TradeStation code). I only want GSB to evaluate for my trade window, not the 24 hour Globex. Will parameters be added for defining a trade window soon? Thank you

admin - 30-5-2017 at 01:57 AM

Hi Flyzoopz
Great you ask this question.
Can you use ES session time of 830 to 1500, not the Globex session?
For all sorts of reasons, I have a preference not to use 24 hour data, though there are exceptions for it to be done.
Currently we define a trading window by the session time supplied to GSB.
We have every intention of adding a time of day as secondary filter. At a guess its weeks away as there are critical bugs and other features we need as higher priority.

You can always export any indicator you like in TS and import into GSB.
I'm not sure I have answered you question to the degree would would like.
Sorry also for being slow to respond to this message. I get no email notification on a new topic, but do on any existing topic. (So future comments on this thread is ok)
You can add requests for features at
http://www.trademaid.info/forum/viewthread.php?tid=14
http://www.trademaid.info/forum/viewthread.php?tid=9
http://www.trademaid.info/forum/viewthread.php?tid=7
Most things people ask for do or will get added.
Current priority is fix critical issue in walk forward, GUI improvements and lots of little tweaks & bug fixes.

Peter

crazyhedgehog - 30-5-2017 at 07:01 AM

Hi Peter, I actually don't think the Session Time in Tools/Contract List works properly. When I use 24h data and set session time to 0830-1500, GSB starts trading outside of the session window. Seems like a bug to me.

Flyloopz - 30-5-2017 at 08:09 AM

Quote: Originally posted by admin

Hi Flyzoopz
Great you ask this question.
Can you use ES session time of 830 to 1500, not the Globex session?
For all sorts of reasons, I have a preference not to use 24 hour data, though there are exceptions for it to be done.
Currently we define a trading window by the session time supplied to GSB.
We have every intention of adding a time of day as secondary filter. At a guess its weeks away as there are critical bugs and other features we need as higher priority.

You can always export any indicator you like in TS and import into GSB.

Peter

Thank you Peter, I don't trade Globex hours but was concerned about the indicator warm-up and opening gaps. I was not aware I could import and use indicators passed from TradeStation (I hadn't noticed that in the docs). I will try using a few of those and that should be a big help for me. I do understand the priorities.

Question on imported indicators: Are these currently limited to indicators that would be plotted on the price scales (such as moving averages)? So something like an RSI oscillator on a 0-100 scale or an indicator with a +50 to -50 scale it is not currently possible to use? I just want to understand the current capability for these.

Thank you Jim

admin - 30-5-2017 at 03:51 PM

Hi Jim
Thats a good question. Indicators in GSB are scaled according to whats appropriate. However when you provide your own via txt file, It will need to be normalized.
Lets say you pass a price to gsb.
ie average(close,10)
then pass gsb(average(close,10),2,100)

if its rsi then GSB(RateOfChange(Close, i1length) , 1, 100)
Look at the GSB TS function might be useful to you.

I haven't used the GSB session times, so will ask the programmer about this.

admin - 30-5-2017 at 04:24 PM

Ive just thought this throught and what ive said is not correct.
If your custom indicator is data2, then GSB is going to put all its indicators on your one.
ie rsi(your custom indicator,x)
While this might still work, its not what you intend.
In the big picture, I was hoping to have c# custom indicator plug-in's added to GSB. That was going to be a long term goal.
Custom indicator as a data stream could be a medium term goal. Wou'd be good to get feedback how important this is.

Its still a pain in that you would need a separate data file for each variation of the indicator.
ie your custom indicator,(10) ,your custom indicator,(20) your custom indicator,(50)

admin - 31-5-2017 at 04:23 AM

Hi Peter, I actually don't think the Session Time in Tools/Contract List works properly. When I use 24h data and set session time to 0830-1500, GSB starts trading outside of the session window. Seems like a bug to me.Text

The sole purpose of session times was to force a Market on Close time, though its also autodetect.
We are going to rename this to reflect what it actually does.
Long term could implement the times to cut the session time like you said. It would be nice to have for markets like Gold and Crude Oil that are trad-able over the long session times.

Flyloopz - 31-5-2017 at 05:15 AM

Quote: Originally posted by admin

Wou'd be good to get feedback how important this is.

Peter, I would say not real important so prioritize to fit your plans as you see fit. Thank you. Jim