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This threw me the first time I noticed it too. Omega had (and still has for
me) such a crappy reputation, I assumed they were wrong. But then I thought
about it. Consider this: on Monday morning at 9:30am, an EOD bar will begin
for most US equities. Although your system might take into account the
open, it can't take the close of Monday's bar into account because the close
does not occur for another 6 and a half hours. Neither does the high or the
low for the day. For your system to make a decision at 9:30am based on the
close of the same day would not make any sense at all. And it would
certainly be much easier to create faulty systems using this process than
the one which TeeTee currently uses. Comparison with QCharts is
inappropriate in this case because QCharts is for discretionary daytraders
and TS is for backtesting.
Kent
----- Original Message -----
From: "Jack Griffin" <jack_2231@xxxxxxxxx>
To: "DH" <catapult@xxxxxxxxxxxxxxxxxx>; "Omega List" <omega-list@xxxxxxxxxx>
Sent: Friday, June 15, 2001 1:48 PM
Subject: Re: Warning: all historybank.com data seems stamped 1 minute late.
--- DH <catapult@xxxxxxxxxxxxxxxxxx> wrote:
> > Their 09:31am bars, for
> > instance, seem to reveal what happened between
> > 09:30:00 and 09:30:59.
>
> TS (and many other programs) has always been that
> way. It's working
> exactly like it's supposed to. There isn't any
> "correct" way to note bar
> times and the only "fault" is yours for not
> realizing it sooner.
>
> RTFM..... :-)
But it should be consistent at least. Consider daily
bars ... pull up your daily chart on the s&p. Notice
that huge blip on January 4th 2000? No? You thought
'reamspan cut rates on January 3rd 2000? Well he did,
but with their method it should show up on the 4th.
See my point? If the market crashes on a Friday I
don't want it showing up on Monday's bar. Moving back
to faster time scales ... if you want to be consistent
you should use the start time. . The first 1 minute
bar should be 9:30, not 9:31. That is how qcharts and
the rest of the world does it and that is the right
way imo. The last bar should be 15:59. I think TS
got it wrong. And I think we need to get them to fix
it before sp6 (the final sp) is frozen. Until then,
what happened to me could happen to anyone testing
fast systems.
Jack
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