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Direct MessagesDate/Time: Sat, 04 May 2024 02:09:44 +0000
VbP including data from prev week
View Count: 790
| [2015-01-26 14:23:17] |
| joshtrader - Posts: 439 |
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This week ES opened with a gap down, and I noticed that the weekly profile I was using was including data from the prior week (i.e., the current week's profile showed prices that had not been traded this week). The VbP setting is "One Period from Most Recent Period Start to End" and the time period is "Weeks". The chart session is regular 9:30:00 to 16:14:59 and extended 16:30:00 to 9:29:59. As the enclosing bars outline shows (attached), a the last bar from Friday is being incorporated into the current week's data. The last bar is being included regardless of the period. So the data error will be larger for a 30 minute bar, than for a 1 minute bar, which could potentially lead to quite inaccurate data, and in all cases could lead to an incorrect high or low for the week's profile. Just tested this out with "Days" instead of weeks and it also incorporates a bar from the prior period. Date Time Of Last Edit: 2015-01-26 14:35:22
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 1-26-2015 9-18-24 AM.png / V - Attached On 2015-01-26 14:20:12 UTC - Size: 55.47 KB - 295 views |
| [2015-01-26 17:26:17] |
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We will check on this.
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