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Hello Gary,
Thanks, G. The effect at the beginning of the day is similar/same as
what I experienced at end of day I suspect. I assume you saw Mark B's
suggestion to truncated the session close time for the futures
contract. Then I think the dribble is "pushed back" into the last
bar.
Tuesday, February 12, 2002, 12:13:06 PM, you wrote:
>> Obviously I fooling with OddBall and therefore its the first time
>> I ever used Natural bars.
GF> One thing I noticed when I was fooling with Natural Hour bars:
GF> (This was with TS4, dunno if TS2k or TS6 do it)
GF> I wrote out some 5min ASCII data from my tick database and was
GF> testing on that. TS4 ignores the "Natural Hour" checkbox on ASCII
GF> data but you can set up Natural Hour bars by specifying the session-
GF> start time as 9:00 instead of 9:30 or whatever.
GF> I liked those results, and I set up a chart from the tick database
GF> just for comparison. I noticed some differences.
GF> I finally figured out that Natural Hour bars in TS4 don't pay very
GF> close attention to the session start time. E.g. if your session
GF> starts at 9:30, your first natural hour bar ends at 10:00. But the
GF> data in that bar ***DOES NOT*** start at 9:30 !! It includes any pre-
GF> opening data from 9:00 to 9:30 that's in your database. So e.g. if
GF> you're displaying NH bars on SP, and your SP symbol includes 24-hour
GF> data, then your 10:00 NH bar will include Globex data from 9:00 to
GF> 9:30.
GF> If you only pay attention to the Close, this shouldn't change
GF> anything. But if you look at the Open, High, or Low, you may see
GF> different results than you expect. And remember that some indicators
GF> like Stochastic, ADX, etc use High and Low.
GF> Gary
--
Best regards,
Jim mailto:jejohn@xxxxxxxxxxxxxxxx
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