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OmniTrader 2014 Technical Support
Problem with Daily Forming Bars
Last Activity 10/7/2017 1:07 AM
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Vinay

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Subject : Problem with Daily Forming Bars
Posted : 8/12/2014 9:28 AM
Post #32496

Recently I developed a Strategy which shows better results with MOC entries as opposed to MOO.

In order to execute MOC entries, I subscribed to eSignal RT Datafeed which I intended to run around 20 minutes before market close and take MOC entries just before market close.

First I created a RT Profile with only two Data periods of 15 min and Daily with Voting enabled on Daily. But the problem with RT Profile is that we can not "force" it to analyze all Symbols at our will. For "Forming Daily Bar" it waits till the completion of the Bar. I am aware of the option available in the "Test Settings" of ToDoList which enables analysis on "Forming Daily Bar" at every 30 minutes, but unfortunately that doesn't corresponds with the time I want analysis to run.

In view of the above problem I tried a "Test Profile" which could be made to analyse at our will. Yesterday Initially it seemed to work as intended on Forming Daily Bars.

Unfortunately today the Test Profile loads and analyses Daily Data only up to yesterday's close as if today's Data does not exists. However it perfectly runs 15 min Bars.Same is the case with RT profile. Only difference is that it shows just a Dot for today's Daily Data. Just like Test Profile the 15 Bars works perfectly.

I tried changing every settings in the "Data Settings" and "Data Periods" without any benefit.

The only change between yesterday and today was that I installed PR2O. I am not sure whether this problem is related to that. Having exhausted all options I could think of I uninstalled OT2014, deleted OT2014 folder and reinstalled it, but the problem is still there.

Please guide me what else I can do to fix the problem.


[Edited by Vinay on 8/12/2014 9:35 AM]

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Jim Dean

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/12/2014 9:46 AM
Post #32497 - In reply to #32496

Hi Vinay

I'm not sure I understand all the details but here are some pointers:

1. If you are trading EOD bars, MOC is available. It's not avail for RT bars, which only allow market, Boo, StopMarket, and (currently unreliable) Limit orders.
2. test profile is not very useful for actual trading, and has largely been replaced by recent EOD improvement-revisions in 2014
3. You can get 20min delay EOD data any time during the day.

The basic issue is that OT (RT) is designed to recognize that a bar is truly complete at the inception of the next bar. There are quite a few somewhat confusion nuances to it.

[Edited by Jim Dean on 8/12/2014 9:47 AM]

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Vinay

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/12/2014 10:07 AM
Post #32498 - In reply to #32497

Thanks Jim for your attempt to help me.

1. I want to take MOC entries after doing analysis on Daily (Forming) Bars. I subscribed to eSignal RT Datafeed just to avoid the 20 min delay which is normal in EOD feeds.

2. I also tried the RT Data in EOD Profile feature added in OT2014, which also seems to work with 15min Bars, but not with Daily Bars.


How are we supposed to go about if we want MOC entries on the Signals generated on Daily Bars?


Thanks once again.



[Edited by Vinay on 8/12/2014 10:09 AM]

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Jim Dean

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/12/2014 10:58 AM
Post #32499 - In reply to #32498

It's like I said - MOC is only avail for EOD, which has a 20min delay but works.

Aside from that, or from a fairly major rewrite of OT code, you can use RT daily bars with market or boo (bar on open).

It's possible to write some complex custom code to do other things but the likely won't fit your need.

Are you trying to trade totally manually, or through the brokerage interface, or use OPilot?
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Vinay

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/12/2014 12:15 PM
Post #32500 - In reply to #32496

Jim, I am placing the orders manually because OT doesn't support IB for Indian Markets. It appears from your reply that it is NOT possible to use RT datafeed for charting and analyzing Daily timeframe and placing MOC orders manually. Is that what you meant to say?



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Jim Dean

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/12/2014 1:55 PM
Post #32501 - In reply to #32500

If you use EOD, you'll see a "pending signal" (triangle with hole in it) in FL column, as each new recalc is done (after a refreshed download). You CAN use those signals, just before the close, to manually enter a MOC order with your broker. It's been awhile since I used RT daily bars and checked the HRE and FL - but as I recall it behaves differently.

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Vinay

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/14/2014 9:25 AM
Post #32505 - In reply to #32496

Actually the problem is not with Strategies not firing any Signal, but OT is not showing the Daily Forming Bar on the Charts. In case of RT Profiles when timeframe selected is Daily then the Chart shows normal Candles upto previous day but only shows a horizontal thin line representing the current price of today. It doesn’t show the full forming Bar. Moreover in case of the Test Profile the Chart shows normal Candles upto previous day only and nothing for current date. However in both the cases 15 min Charts works normally. I suspect this a serious bug.
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Barry Cohen

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/14/2014 9:51 AM
Post #32507 - In reply to #32505

When intraday bars are added to EOD profiles, it will use your realtime data feed for the intraday bars & your daily data feed for daily bars.

If your realtime & EOD data service is the same feed...

Click Edit -> Data Settings -> Advanced. In the Service tab under First, make sure that eSignal is selected as well as End-of-Day & Intraday. In the Second tab, Service should be set to None.

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Vinay

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/14/2014 9:58 AM
Post #32508 - In reply to #32496

Barry... I had configured the Data Settings exactly as you mentioned. In both RT as well as the Test Profiles the Data is feed by eSignal. While 15min Chart is working normally but unfortunately Daily Forming Bar is not showing at all in Test Profile and only the last traded price is reflected by way of a thin horizontal line in RT Profile.

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Jim Dean

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/14/2014 10:37 AM
Post #32509 - In reply to #32508

Don't use test profiles for trading. No need at all for that any more and it's not geared for that.

I forgot that now you can now download intraday into EOD profiles.

My guess is that in an EOD profile, a "daily bar" might be 20 min delay.

BUT - if you have RT feed avail, you probably can Substitute a 390 min bar to echo the daily bar.

And, better yet - solving your whole MOC issue neatly -
Define your RT-fed EOD profile to use 370 (three hundred seventy) minute bars - this will mean that an MOC order will process at 3:40 pm EST (20 min before market close).

This is cool - wish I'd thot of it earlier.
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Vinay

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/14/2014 11:26 AM
Post #32510 - In reply to #32496

Thanks Jim for the suggestion of 370 min Bars, but this workarounds will not give correct picture of what's happening in the markets, because it will leave out 20 min of closing data in every bar.

Regarding your advice that we should not use Test Profile for trading is well taken, but I tried to use that only because the RT Profile was not working properly with daily bars.

The situation with RT time frames in EOD profile is not different. It also shows 15 min bars correctly but not the daily bars.

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Jim Dean

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/14/2014 12:27 PM
Post #32512 - In reply to #32510

Ok - up to you - but IMHO what you are asking for is a very large code rewrite, when there is at least one pretty cool viable solution.

So, I'll wish you the best of luck with this one and bow out of the kitchen. :-)
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Jim Dean

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Subject : RE: Problem with Daily Forming Bars
Posted : 8/14/2014 12:30 PM
Post #32513 - In reply to #32512

If you want to use MOC then you must allow time for the calc's to be done, and the order to be placed and transmitted before the broker MOC cutoff time (usually 5-10 min before close as I recall). You could use the nifty method I described with 375, 380, or even 389 minute bars if you think that gives the program and the broker time enough. It's IMPOSSIBLE to both know the true close and submit a MOC order for the same day. You have to do it a little bit ahead of time.

[Edited by Jim Dean on 8/14/2014 12:42 PM]

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Barry Cohen

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Subject : RE: Problem with Daily Forming Bars
Posted : 2/6/2015 11:31 AM
Post #35166 - In reply to #32496

It seems some time ago eSignal made a change in their code on how they calculate daily bars & it was causing this issue. It's been fixed & will be included in the next PR.
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Vinay

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Subject : RE: Problem with Daily Forming Bars
Posted : 2/7/2015 11:25 PM
Post #35180 - In reply to #32496

Thanks Barry. Without your persistent efforts and support this issue could not have been resolved. Please convey my thanks to your developer also who isolated the source of this tricky problem and fixed it. I was struggling with this issue for last several months and this fix means a lot to me.

Thanks once again.


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Vinay

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Subject : RE: Problem with Daily Forming Bars
Posted : 2/9/2015 3:00 AM
Post #35187 - In reply to #32496

Barry...Please note that Visual Trader also has similar problem and that also needs to be fixed.


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Vinay

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Subject : RE: Problem with Daily Forming Bars
Posted : 7/20/2015 9:13 AM
Post #35619 - In reply to #32496

Barry...The problem was partially fixed in the earlier PR. This issue is still present for first 15 minutes after market opening. Please get it fixed as soon as possible.

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mitta

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Subject : RE: Problem with Daily Forming Bars
Posted : 7/20/2015 6:04 PM
Post #35622 - In reply to #35619

Hi Vinay, I just bumped into this thread. It appears that the entire issue is with Esignal. I run two different charting packages and for 6months of the year my real time Esignal feed will cause chaos for the developing daily bar. It appears during the Australian day light saving period the Esignal day bar creation will completely remove yesterdays candle and split todays forming bar into two.. try working that one out.. During the other six months of the year yesterdays day bar will correctly appear but todays bar will do the split deal.. This occurs on every second day and this entire issue only effects the stocks that begin with A and B. With OT, for six months of the year everything is fine but for the other six, this issue does not appear to happen. But when loading a new stock midway thru the day the candle will only form from that moment onwards. It will completely disregard the earlier days trading of that stock. The issue is Esignal and it occurs across multiple platforms and is totally unacceptable.
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Subject : RE: Problem with Daily Forming Bars
Posted : 7/21/2015 6:39 AM
Post #35623 - In reply to #32496

Mitta...This problem is NOT due to eSignal because other platforms like AmiBroker are showing daily forming bars correctly.

One thing I forgot to mention that before 8th March when Daylight Saving Time came into force in US this issue was present for the first 1 hour & 15 minutes. But after 8th March when DST came into effect as a result the Eastern & Central Time advanced by 1 hour, my Daily Forming Bar problem also advanced by 1 hour. Instead of 10.30 IST (Indian Standard Time) as was the case earlier now this problem disappears after 9.30 IST (i.e. 15 minutes after market open as against 1hour 15 minutes earlier). So it appears that this problem has some connection to the U.S. time. I suspect it has some connection to Eastern Time because this problem goes away as soon as the Eastern Time crosses 12 midnight (when the date advances to match Indian date).


[Edited by Vinay on 7/21/2015 6:44 AM]

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Jim Dean

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Subject : RE: Problem with Daily Forming Bars
Posted : 7/21/2015 6:58 AM
Post #35624 - In reply to #35623

Suggestion:

To resolve any question as to whether this is related to ESig or not, why not ask N Sales for a free one month subscription to OmniData RT and see if the problem goes away or not (albeit for different symbols :)

Or, if it's avail in your area, maybe try DTN/IQ

Knowing that might help N to diagnose and fix the problem.

[Edited by Jim Dean on 7/21/2015 6:59 AM]

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mitta

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Subject : RE: Problem with Daily Forming Bars
Posted : 7/21/2015 4:24 PM
Post #35625 - In reply to #35624

thanks Jim, but unfortunately none of those options are available .... way down here :)

Vinay, sorry to say but part of the problem that I earlier had mentioned is Esignal driven

[Edited by mitta on 7/21/2015 4:25 PM]

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Barry Cohen

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Subject : RE: Problem with Daily Forming Bars
Posted : 7/21/2015 5:50 PM
Post #35626 - In reply to #35625

Vinay's issue is with OT/VT & he can't go to a different feed since he trades the NSE.

Vinay, we did improve it as you know, but it's not quite there yet. I'll let you know when we have fix for you to try.

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Vinay

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Subject : RE: Problem with Daily Forming Bars
Posted : 7/22/2015 1:18 AM
Post #35627 - In reply to #32496

Earlier OT/VT did not displayed the daily forming bars for the entire duration of the trading day. Fortunately Barry worked very hard for several months to get it fixed. Due to his persistent efforts this problem was partially fixed. As mentioned earlier now OT/VT displays daily forming bars correctly after 15 minutes when DST is in force and after 1 hour 15 minutes when DST is not in force.

Thanks Barry for your support. Appreciate very much.



[Edited by Vinay on 7/22/2015 1:22 AM]

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