Re: End of day detection in intraday data

[David Wieringa <david_wieringa@xxxxxxxxx>]

Does this require applying any additional indicators (to build up an array
of history in the DLL) or can a DLL actually look into the future of a
price/date series?

Does the $100 include source code of the DLL?

Thanks for your time,
David Wieringa

At 02:33 PM 10/2/99 +0200, pierre.orphelin wrote:
>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
>> 
>> 
>
>