Overnight gaps erroneously bridged in historical data by the open of the 8:00 1min candle...
Hmmm, thanks for the thought WH. Yeah, I've gathered pretty quickly that most on here trade FX and that I'm in a minority! :)
There is certainly some weirdness around what hours different brokers offer certain non-FX instruments. I know of one that offers FTSE from 3am and closes at 11pm (GMT+2), while another only opens at 8am and closes at 9pm (GMT+1) for example. But I'm not sure that there is any indication that what happens outside of their respective hours is accounted for in any way upon their respective opens. If there was, why would we not see the same action in the data that is captured live? Also, it doesn't seem to matter what price action (spikes beyond either/both open and close), has occurred outside of the broker's hours, the only outcome is the covering of the gap between their specific close and open.
It's crap having to deal with 35pt tall 08:00 candles when they should be 10pts.
What would have solved this for me is if my broker covered the FTSE pre-market, i.e. from at least as early as 7:00 UK time. That way the 8:00 candle would be just another candle between 7:59 and 8:01. (I can't move to the broker mentioned above because of wider spreads and availability of historic data and other reasons).
Hmmm, thanks for the thought WH. Yeah, I've gathered pretty quickly that most on here trade FX and that I'm in a minority! :)
There is certainly some weirdness around what hours different brokers offer certain non-FX instruments. I know of one that offers FTSE from 3am and closes at 11pm (GMT+2), while another only opens at 8am and closes at 9pm (GMT+1) for example. But I'm not sure that there is any indication that what happens outside of their respective hours is accounted for in any way upon their respective opens. If there was, why would we not see the same action in the data that is captured live? Also, it doesn't seem to matter what price action (spikes beyond either/both open and close), has occurred outside of the broker's hours, the only outcome is the covering of the gap between their specific close and open.
It's crap having to deal with 35pt tall 08:00 candles when they should be 10pts.
What would have solved this for me is if my broker covered the FTSE pre-market, i.e. from at least as early as 7:00 UK time. That way the 8:00 candle would be just another candle between 7:59 and 8:01. (I can't move to the broker mentioned above because of wider spreads and availability of historic data and other reasons).
Hi Raptor.
Ah yes, when I say FTSE, I mean FTSE futures and of course, I'm beholden to whatever time my broker wishes to offer it.
Trading FTSE futures on a central market would mean a switch to CFDs I guess and I've never looked into Ninja Trader or CQG etc, which are the tools I suppose I'd need to trade with algorithms.
My requirement is a broker that offers FTSE futures on spread bets (8am-9pm minimum), with at least 5yrs accurate 1 minute back-testing data, with the ability to deploy bots to do the trading automatically and at competitive spreads. I'm not sure there is any company out there that offers these things, certainly none that I'm aware of that do it better than the broker I'm with now (though I'm not against changing). My only issues with them are the affect their open/close has on their back-data, their FTSE tick size (which is a full point in FTSE), and the after-hours spread (which is heavy at 2pts but still better than some).
There is a well known spread betting company who are in the process of adding MT4 to their CFD customers and they cover the FTSE futures 24/5. They have fantastically accurate and long-standing historical data and tick the FTSE at 0.1pts. If they decide to roll-out to spread betting customers I'll be straight over.
In any case I think I thought it much easier in the first instance to search for a technical solution for my data issues :)
Hi Raptor.
In any case I think I thought it much easier in the first instance to search for a technical solution for my data issues :)
Hmmm, I could look into that. Although it's not an offending bar per se, it's an offending open price within a single 1-minute bar. I'm not sure how, without tick data from my broker, it would be possible to replace the erroneous stated open price, with the next quoted price and call that the open for that candle. That would be accurate enough for me but I can't see how it can be done.
Background - My bot analyses a period around the FTSE open and I'd like to include the 8:00 1min candle in testing but at the moment I have to start with the 8:01. Live trading isn't a problem as the trade triggers later on.
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Example - FTSE 9pm close, 8am open (on a certain broker). When downloading the (paid for) historical dataset, for some reason in the 1minute data, the gap between the 9pm close and the following 8am open is bridged, by the 08:00 1min candle. More specifically, the close of the last candle on the previous day then becomes the open of first candle of the new day. Obviously the affect this has on the 8am 1min candle can be very significant in terms of its size.
I have asked the broker but got no answer (although I have found this phenomenon in various historical datasets), and wondered if anyone here had any idea why this happens or what to do about it. It completely skews an EA that wants to monitor the opening action for signals. That it to say you have to start with the 8:01 candle (because the 8:00 is complete rubbish), so missing valuable data. Plus it scuppers gap trading bot development and no doubt a lot other things if I thought about it.
Incidentally, this does not happen in data that has been gathered live, the gaps exist!