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The 4:00 PM data point consists of 1 min of trades if you are not using tick
data for intraday trading. On a 1 min chart this is as it should be. However
as the periodicity of the chart increases, the amount of data contained
within each bar or data point increases EXCEPT for the 4:00 PM point which
remains constant at 1 min of trade data. On a 30 min or 60 min chart the
4:00PM data bar still depicts 1min of trades and still occupies one data
point. A normal trading day using 60 min charts has 7 bars or data points
(including 1 bar for the first 1/2 hour) but in AmiBroker there are 8 bars
or points including the 4:00 PM bar or data point, so 12.5% of 60 min chart
data points have ONLY 1 min of data within them.
My problem is: won't this cause inaccuracies in chart displays and data
calculations, especially numeric calculations (RSI, ADX, Stoch, etc)? Some
bars will incorporate 60 times as much data? Has this issue been addressed
before? I can't find it anywhere. Is there a way to include the 4:00 PM data
into the data for the previous period? I thought about just stopping the
data at 3:59 PM but there is often significant volume and some degree of
price movement in that final 1 min of trading. Other suggestions?
Thanks.
George Loyd
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