kelsotrader
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Posts: 29
Registered: 16-2-2018
Location: Tapanui - New Zealand
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Data Streams
I have been endeavoring to create new strategies and during that process have come across a number of issues related to data.
One of the first things that I have noticed is the differences in session times. This variation can change from year to year and also within years due
to what I assume is daylight saving time, and times changed by the exchanges due to demand.
Coffee for example if one goes back to 2002 and looks at the time will find that they completely change over the course of the years.
So this leads us to the first issue.
How does GSB handle changing session times. Both within the year and over years.
I would assume that one needs to go through data to ensure that it complies with some time rules.
So we need to set up some rules that data must comply with and have them well defined.
The second issue is adding new Symbols to the "Contracts" list.
Ok one can edit it but its not clear what some of the fields are related to. Ie Digets, Are the fields Moc#From, and Moc#To the end of session times
as created when formatting a data's session time, or is it the actual exchange session ending time. I assume it is used in the timing code.
One of the other issues relates to the optimizing settings of Data streams 1 and 2.
First Question is: Does the system use Data stream 1 look for entry points, or is it just used to trade with.
Second Question: Does data streams in Data2 have to be the same session times as Data1
This leads me to the second point are the Data streams just used for finding entry and exit points.
Do data steams in 2 need to be the same session times of Data stream 1.
Example:
One may want to trade EURO Futures (Mini or full) but only wants to day trade.
So does on use a session based data stream for data 1
And full data streams for data 2.
Can these issues please be clarified by those in the know.
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admin
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Posts: 5069
Registered: 7-4-2017
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Quote: Originally posted by kelsotrader  | I have been endeavoring to create new strategies and during that process have come across a number of issues related to data.
One of the first things that I have noticed is the differences in session times. This variation can change from year to year and also within years due
to what I assume is daylight saving time, and times changed by the exchanges due to demand.
Coffee for example if one goes back to 2002 and looks at the time will find that they completely change over the course of the years.
So this leads us to the first issue.
How does GSB handle changing session times. Both within the year and over years.
I would assume that one needs to go through data to ensure that it complies with some time rules.
So we need to set up some rules that data must comply with and have them well defined.
The second issue is adding new Symbols to the "Contracts" list.
Ok one can edit it but its not clear what some of the fields are related to. Ie Digets, Are the fields Moc#From, and Moc#To the end of session times
as created when formatting a data's session time, or is it the actual exchange session ending time. I assume it is used in the timing code.
One of the other issues relates to the optimizing settings of Data streams 1 and 2.
First Question is: Does the system use Data stream 1 look for entry points, or is it just used to trade with.
Second Question: Does data streams in Data2 have to be the same session times as Data1
This leads me to the second point are the Data streams just used for finding entry and exit points.
Do data steams in 2 need to be the same session times of Data stream 1.
Example:
One may want to trade EURO Futures (Mini or full) but only wants to day trade.
So does on use a session based data stream for data 1
And full data streams for data 2.
Can these issues please be clarified by those in the know. |
Im not aware of session times changing with day light savings.
The dax for example changed session times twice with longer session times over the years.
GSB will handle all of this identical to TS.
Its best to keep the session time consistent.
a day with 13 bars changing to say 11 in a day is little problematic.
2) This should be in the docs. moc1 and moc 2 is more for when you have tick or sub minute bars. The bars might not hit the exact moc1 time, so we
have a moc range. The time relates purely to the bar time in the files supplied to GSB. Actual time if its local or exchange, gsb doesn't know or
care.
Look how ES is setup, and this should give you a guide for the other symbols.
Data1 is used for entry points and trading, though its possible (but un-likely) that only data2+ is used for oscillator data.
Session time should be the same, else TS and GSB wont use the bars where data1 and data2 are not the same.
In your euro example, you can use the time filter in the main gsb left menu under trading periods to force GSB to only trade in a time window.
As a rule, you should use the sessiontimecalcs
http://trademaid.info/forum/viewthread.php?tid=117
to find the time of day that has the volume and the range.
This post should be under general support
http://trademaid.info/forum/viewthread.php?tid=4
There are two reasons. No one gets a email saying there is something new on the forum if its a new thread, so you will get slower response from
members & I, and it stops the forum getting cluttered with too many topics.
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