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FilteredDailyFrequency - "flat" candlestick saved

Posted By lampalork 2 Years Ago
Cry Posted Wednesday October 04 2017
I'm using FilteredDailyFrequency to "construct" daily bars of index futures (open 930NY, close 1610NY). It works well but for some reasons, it seems that it only stores "flat" candlestick (i.e. open = close = high = low); so that when i restart my trading system, indicators that use full bar info (e.g. ATR) are not show accurately on live market data screen (see screenshot with flat bars attached). is this the expected behaviour?
Ps: you'll see below the code i use in symbol / startup to define FilteredDailyFrequency 

Many thanks in advance

FilteredDailyFrequency fdf = new FilteredDailyFrequency();
   if (Symbol.AssetClass == AssetClass.Future && (new string[] { "ES", "NQ", "YM" }).Contains(Symbol.Name))
    fdf.StartTime = new TimeSpan(9, 30, 0);
    fdf.EndTime = new TimeSpan(16, 10, 0); // 5 min before close
    OutputMessage(String.Format("Unknow symbol: {0}", Symbol.Name));

Edited: Wednesday October 04 2017 by lampalork
Posted Friday October 20 2017
Hi All,

Follow-up on my previous post. I'm aiming to launch a system live. I have managed to solve must of issues i faced. One key issue remains though.
I'm using FilteredDailyFrequency (it is now set in RE in Tools -> Options -> Frequency) instead of in the code but i don't it matters much. In the watching list, the folder containing my symbols is set to Daily Frequency.

When i start my system in Live mode, it will start by simulating the previous bars (bars before today); this allows me to have indicators computed for past days. The issue i faced is that the previous bars i'm accessing (these bar were downloaded using the IB plugin and the Update Historical Data function) are "flat" i.e open/high/low/close all have same value. After some investigation, i realized that all these values are set to the "high" value that was downloaded from IB. 

My wild guess is that the bars downloaded from IB start at midnight and ends at 23:59 the same day but since the frequency i use for my system (9:30am-4:10pm) do not match the start/end time of the bars that were downloaded from IB, RE takes a conservative view and takes the "high" value as the value for open/high/low/close. 

1) Can you confirm that this is what is happening? Alternatively, what would you suggest for me to debug this issue?
2) How would you think i can go around this issue?

Let me know if something is not clear.

Kind regards

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