SmartQuant Discussion

Daily Bar Start/Stop Times
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Author:  Jump1180 [ Mon Feb 22, 2010 7:59 pm ]
Post subject:  Daily Bar Start/Stop Times

I would like to request a feature be added to OQ to allow the user to specify the daily bar start/stop times. Right now OQ only allows daily bars to begin and end at 12:00 AM as a function of the computer time. If we were able to specify the begin and end time of daily bars then it would allow the time intervals to be adjusted to reflect the default daily bars created by other packages such as IB TWS/Esignal, ect.

Author:  Dr. Anton Fokin [ Mon Feb 22, 2010 8:37 pm ]
Post subject: 

Why can't you use Bar with custom time interval for this?


Author:  Jump1180 [ Tue Feb 23, 2010 12:20 am ]
Post subject: 

Hi Dr. Fokin,

Thanks for the reply. Anytime you set a custom bar to 86400 it defaults to a daily bar and therefore sets the start and stop time to 12:00 am. If I set the custom bar length to 85500 (23.75*60*60) which could be used to exclude the 15 minute down time on forex bars between 5:00-5:15 pm E.S.T. the bar still insists on starting at 12:00am and running to 11:45 pm.

If there is a way around this then please let me know. Possibly I am defining my custom bars inappropriatly? I will send you some correspondence between myself and Sergey so you can be fully aware of my request.

Author:  sals3r0 [ Fri Dec 09, 2011 12:24 pm ]
Post subject:  Re: Daily Bar Start/Stop Times


I would be also interested in having Daily bars with custom times. Can u please explain how can I configure them (if it is possible already)?


Author:  sals3r0 [ Sat Dec 17, 2011 12:56 pm ]
Post subject:  Re: Daily Bar Start/Stop Times

Could somebody comment on this please? This is quite important for daily data based strategies.
Maybe I should just use onTimer event and create bars completely by myself possibly? Because I still don't know if BarFactory can handle custom times in bars or not...

Author:  sals3r0 [ Wed Dec 21, 2011 8:28 pm ]
Post subject:  Re: Daily Bar Start/Stop Times

One dirty hack may be shifting the local machine timezone. It seems that OQ BarFactory uses local time to build bars, so for instance if I set timezone to something like GMT+3, daily bars would close on real NYSE/NASDAQ market close 8) But this is a big "perhaps", I did not test this yet...

Author:  Dr. Anton Fokin [ Wed Dec 21, 2011 8:41 pm ]
Post subject:  Re: Daily Bar Start/Stop Times

Yes, the BarFactory uses local time to construct bars.

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