DLow/DHigh faulty?
- This topic has 5 replies, 3 voices, and was last updated 7 years ago by
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If you are on IG, without screen capture to check, I am going to hazard a guess that your monday’s dhigh(1) and dlow(1) instead of being friday’s are matching high and low of sunday night quotes? (those candles assigned to sunday’s rather than early monday morning ones)?
Those few “sunday night” candles for any timeframe daily and lower are a pain as soon as we want to timely retrieve friday’s data without sunday night ones… They create the need to code a workaround depending on what the code needs.
While on this subject, something along the same lines to be aware of when it comes to cfd sunday night quotes: even if you choose in your platform options to not display weekend data, this option choice will affect only what is running on your computer, but not the backtests you launch that will be running on PRT servers where they’ll keep using sunday’s data in the history regardless of your platform option choice.
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Ok, if you’re with IG then my previous answer should be it. However, to be fair to PRT, I wouldn’t go as far as calling this a bug or an anomaly, and here is why: PRT provides a platform compatible with various brokers, and IG provides a CFD dataflow which is theirs to decide as to what days and time any instrument quotes or not…
If you trade an IG cfd instrument with some sunday data, like the Germany 30, it’s normal to have dlow(1) on a monday referring to sunday rather than friday, because with this dataflow some quotes did really occur on sunday night and sunday is indeed in between friday and monday so if dlow(1) was referring to friday, how would you call sunday from monday? It’s just that the first time we come accross it, it’s not necessarily an intuitive thing to guess because until then sunday night data didn’t matter much in our mind… So on monday, yes you’d need dlow(2) to access friday’s Cfd low, there’s no saturday quotes. But if you have real Dax cash market dataflow with 5 days a week rather than cfd with 6 days a week, then your monday dax dlow(1) would refer to friday… The platform does exactly what it’s supposed to do, but the Dax Cash market dataflow and the IG Germany30 CFD dataflow don’t have same number of days open in the week. So it’s not a bug, it’s the platform adapting to the dataflow.
For the other thing I highlighted about showing or not weekend data in the platform option being effective only for what runs inside the PC rather than what runs in PRT server, this is not a bug either (I thought it was when first coming accross it), but rather a lack of options for backtest purpose.
For someone interested to replicate cash market hours while using cfd, it’s like Maz suggested. And same thing for someone interested to replicate Futures market hours from cfd, with yet another opening and closing time than cash.
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