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Direct MessagesDate/Time: Wed, 01 May 2024 21:22:25 +0000
Weekly OHLC on Daily TimeFrame Does not match Weekly OHLC on 1-Minute TimeFrame
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| [2022-06-11 19:07:37] |
| Techotomy - Posts: 104 |
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When using the Period OHLC - Variable Period Study, the Weekly OHLC on the daily chart time frame does not match the weekly OHLC on the 1-minute chart time frame. For example, for the week of 5/30/22, I see a SPY close of 410.54 when using the daily time frame, but 410.30 when using the 1-minute time frame for the same study parameters with everything else equal (i.e., Time Period Type is Weeks and Time Period Length is 1). How do I get these values to match?
Date Time Of Last Edit: 2022-06-11 19:08:51
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| [2022-06-12 07:51:27] |
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You cannot. This would not be surprising to see these differences. Especially with the symbol like SPY which can have out of range trades. Refer to: Differences With Data and Chart Bars Between Services / Connections / Chart Types Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2022-06-12 07:51:45
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| [2022-06-12 13:46:13] |
| Techotomy - Posts: 104 |
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I am definitely surprised to see differences on Sierra Chart since major trading platforms like eSignal and TradingView don't have these differences, and the OHLC values you are providing with "out-of-range" trades on the one-minute give less meaningful trade signals than the settled OHLC values. The weekly close should be the same weekly close regardless of whether you are looking at the intraday one-minute or the historical daily since the future doesn't change the past, but if you can provide a better explanation to understand your reasoning, I'd appreciate it.
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| [2022-06-13 12:29:23] |
| Sawtooth - Posts: 3987 |
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The weekly close should be the same weekly close regardless of whether you are looking at the intraday one-minute or the historical daily
Sierra's "Historical' data (Daily, Weekly, etc.) is its own feed, and is stored in *.dly files.Sierra's intraday data is its own feed also, and is stored in *scid files. The settlement (close) price of 'Historical' data is a derived price, and usually does not match any price at the close. Therefore, you cannot compare closing prices between these two data feeds. https://www.investopedia.com/terms/s/settlementprice.asp https://www.cmegroup.com/trading/agricultural/files/settlement-price-fact-sheet.pdf |
| [2022-06-13 20:14:59] |
| Techotomy - Posts: 104 |
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Coming from a computer science background, it sounds trivial to program the study to grab data, or settlement prices, from historical *.dly files for use with intraday *.scid files. What prevents you from doing this? I have not looked at how to program studies in SC yet, but if the API doesn't allow it, it should be doable from the developer side.
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| [2022-06-13 20:54:38] |
| Sawtooth - Posts: 3987 |
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What prevents you from doing this?
I am not SC Support; I'm just a user.If you grab the settlement price from the 'historical' *.dly files, for use in intraday *.scid files, you'd pollute the intraday data with a 'close' price that never matched any time-based bar. IOW, where would you insert this settlement price? What intraday datum would you overwrite? If you were to insert a settlement price into intraday data, you wouldn't be able to immediately 'close' that last intraday bar of the day because it takes some time to determine the settlement price. Note: You can create a weekly chart from intraday data, but the close still won't match the 'historical' settlement price. Chart Settings: Weekly Bars (Time Specific Bars) |
| [2022-06-13 21:06:47] |
| Techotomy - Posts: 104 |
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I'm just trying to draw the correct previous settlement price on a 1-minute chart for intraday trading, not insert any data into the intraday file. I don't care about drawing the settlement price on the chart before it's known.
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| [2022-06-13 22:19:23] |
| Sawtooth - Posts: 3987 |
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I'm just trying to draw the correct previous settlement price on a 1-minute chart
Here's how I do it:On an Historical Daily chart: Add the Spreadsheet Formula study with this formula in its Formula field: =C[-1] On the 1 minute chart: Add the Study/Price Overlay study, and set the 'Study to Overlay' to the Daily chart/ID# of the Spreadsheet Formula study. |
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