|
PureBytes Links
Trading Reference Links
|
Thanks to all who replied.
Regards, Michael
MT wrote:
>
> Hi List,
>
> My system uses 2 data series:
>
> Data1 is 5-min S&P futures (I'm storing 24hr data, not just RTH, but
> chart/trade RTH only)
> Data2 is 1-day S&P futures, which I just want to compute xx-day ATR of
> RTH OHLC
>
> I collect realtime data for several markets. Every weekend I'm
> downloading again the past week's data from my feed using Dynastore,
> just in case there were any gaps due to Internet outages that I didn't
> notice. I then import the OMZ into Globalserver.
>
> For my abovementioned system which uses 2 data series, I've noticed
> that:
>
> 1) TS2K/GS doesn't produce daily bars for the days before I started
> collecting quotes in realtime (I imported data in OMZ format for the
> period before I started collecting data rt)
> 2) if I go to GS and ask it to view e.g. ESZ2 data in daily bars, on
> many days I get 2 entries instead of 1 entry for daily OHLC data, with
> very different numbers (difference between RTH and 24hr OHLC?).
>
> My questions:
>
> 1) Why are there missing daily bars in TS2K and different daily OHLC
> data in GS?
> 2) Should I get rid of Data2 (daily bars) and recreate the system so
> that only Data1 (5-min bars) are used? If so, how do I compute the
> xx-day ATR of RTH-only data (since GS is storing the 24hr data)?
>
> Thank you in advance, Michael
|