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Re: End of day detection in intraday data



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Why would you want to backtest with information which you will never know in real-time?


The Omega Man


__________________________

Dave wrote:

For backtesting, we've been running our systems on intraday futures data --1 minute bars.

Several of our systems perform a number of activities at the end of the day.

I'm curious if anyone has a good way of detecting the last bar of the day?

In corn, the market (CBOT) closes at 2:15pm, but with 1 minute bars, I'm not guaranteed to always get a 2:15pm bar.

Up to this point, we've had to go through all of our ASCII data and insert a trade at 2:15 (i.e. open, high, low and close all equal to close of last bar or trade).

Is there any way to detect this before the first bar of the next day?

I notice that DATE[-1], seems to be the same as DATE, so that doesn't help.  Can I possibly do something in a DLL to look ahead at the DATE data?  (i.e. if I pass in the address of the DATE series)

Thanks,
Dave