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We do have a DLL that reads bars in advance, including date,time,
OHLC V OI Up and down ticks, any number of bars in advance from currentbar.
" Tommorrow newspaper DLL" is available for TS2000i and TS4 versions
(US$100)
This is the only solution to find the last bar of the day with Ascii files,
when the last bar timestamp do not match the Sess1eendTime.
Without this, it's impossible to test secure EOD exits in a simple manner.
In your case, you just have to check
value1=nextdate;
if d<> value1 then...do what you have to do when the last bar of the day occurs
The DLL also solves for the NextOpen orders problems forbidden by TS when using Close inthe same system.
Sincerely,
-Pierre Orphelin
web: http://www.sirtrade.com
----- Message d'origine -----
De : David Wieringa <david_wieringa@xxxxxxxxx>
À : <omega-list@xxxxxxxxxx>
Cc : <slwieringa@xxxxxxx>; <steve_wieringa@xxxxxxxxxxx>
Envoyé : samedi 2 octobre 1999 06:29
Objet : End of day detection in intraday data
>
> 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
>
>
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