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George,
I don't know if the below applies to you or not but I broached this
topic some time ago from a different perspective ...
>From an intraday perspective there is NO valid data after 3:59:59.
In 60 minute bars the last one should begin at 3:30:00 and end at
3:59:59
Everything from 4:00:00 on in cash indicies and stocks can not be
seen during the "market day" nor used for same day trading.
By the way what vendor are you using ?
Fred
--- In amibroker@xxxxxxxxxxxxxxx, "George Loyd" <grloyd@xxxx> wrote:
> 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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