I am uploading intraday futures ASCII data, e.g. each bar is 230 mins bars for ES.
This provides 6 bars per day with the following timestamps (close of bar).
-02:50:00
-06:40:00
-10:30:00
-14:20:00
-18:10:00
-22:00:00
I upload the CSV data via the Data Manager > ASCII.
I load a chart, and notice the time frame is set to daily, I change it to 230 mins.
When checking the chart and the data (by right click on chart > copy price data > excel), I notice that that the it's not exactly the same bars, and the timestamps from my original file are not being respected, and it leads to different bars and some large gaps (at the 20:50 bar below), and it looks like there are bars missing.
Timestamps example showing in WL.
-04:30
-08:20
-12:10
-16:30
-20:50
-00:40
I've tried to catpure an example with with attached screenshot.
What is going under the hood here ? Why doesn't WL take the data and timestamp as my per original CSV file ? Or am I doing something wrong ?
Thank you
This provides 6 bars per day with the following timestamps (close of bar).
-02:50:00
-06:40:00
-10:30:00
-14:20:00
-18:10:00
-22:00:00
I upload the CSV data via the Data Manager > ASCII.
I load a chart, and notice the time frame is set to daily, I change it to 230 mins.
When checking the chart and the data (by right click on chart > copy price data > excel), I notice that that the it's not exactly the same bars, and the timestamps from my original file are not being respected, and it leads to different bars and some large gaps (at the 20:50 bar below), and it looks like there are bars missing.
Timestamps example showing in WL.
-04:30
-08:20
-12:10
-16:30
-20:50
-00:40
I've tried to catpure an example with with attached screenshot.
What is going under the hood here ? Why doesn't WL take the data and timestamp as my per original CSV file ? Or am I doing something wrong ?
Thank you
Rename
I used the 'Help' function to dig a little deeper here and I think the answer lies somewhere in the 'Markets and Symbols' function.
There is a default CME Market template which I had assigned to the Product:
-Base Time Zone: Central Standard Time (US)
-Hours: 17:00 to 16:00
-Holidays: USA-FUT-CST
My CSV data timestamps are in London time,
where the CME futures runs from 23:00 to 22:00.
So I created a copy of this CME template = CME_TEST,
assigned it to the Product in 'Symbols' tab and I see better results,
i.e. a bar chart that more closely resembles the data from the CSV file.
-Base Time Zone: Central Standard Time (US) or GMT (London)
-Hours: 23:00 to 22:00 (open & close)
-Holidays: set this to -None-
My objective is to have WL8 just return the data/bars as per the CSV file without any manipulation. Some follow up questions:
1) What does 'base time zone' represent ? Should this be London, if CSV timestamps are london ? (it doesn't seem to produce different results between US & London).
2) Presumably, this needs to be set to 'my' open/close based on the CSV data's timezone (London), correct ? note: this seemed to have the most impact.
3) Setting the holidays to 'None', makes no difference. WL still reads a holiday and excludes some bars from the CSV file based on a calendar.
Are holidays being correctly ignored if set to 'None' ? (no restart requied?)
4) With the chart looking better (apart from holiday bit in #3 above)
I noticed that the timestamp in the top left of the chart, does not change at all from day 2 onwards... can also see this in 'Copy Price Data' > Excel (screenshot here)
Is this a bug ?
There is a default CME Market template which I had assigned to the Product:
-Base Time Zone: Central Standard Time (US)
-Hours: 17:00 to 16:00
-Holidays: USA-FUT-CST
My CSV data timestamps are in London time,
where the CME futures runs from 23:00 to 22:00.
So I created a copy of this CME template = CME_TEST,
assigned it to the Product in 'Symbols' tab and I see better results,
i.e. a bar chart that more closely resembles the data from the CSV file.
-Base Time Zone: Central Standard Time (US) or GMT (London)
-Hours: 23:00 to 22:00 (open & close)
-Holidays: set this to -None-
My objective is to have WL8 just return the data/bars as per the CSV file without any manipulation. Some follow up questions:
1) What does 'base time zone' represent ? Should this be London, if CSV timestamps are london ? (it doesn't seem to produce different results between US & London).
2) Presumably, this needs to be set to 'my' open/close based on the CSV data's timezone (London), correct ? note: this seemed to have the most impact.
3) Setting the holidays to 'None', makes no difference. WL still reads a holiday and excludes some bars from the CSV file based on a calendar.
Are holidays being correctly ignored if set to 'None' ? (no restart requied?)
4) With the chart looking better (apart from holiday bit in #3 above)
I noticed that the timestamp in the top left of the chart, does not change at all from day 2 onwards... can also see this in 'Copy Price Data' > Excel (screenshot here)
Is this a bug ?
Would you be able to email the ASCII file to support@wealth-lab.com so we can examine further?
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