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Session Preferences for Daily, Weekly, and Monthly bar charts

bp
asked this on December 03, 2010 09:20

A question about "Session Preferences" for Daily, Weekly, and Monthly bar charts(i.e. greater than "intra-day")for specifically Futures Contracts based on CL, ZB, US, and DX:

Can your charting "session preferences" set an override to create Daily, Weekly and Monthly bar charts which "parallel" certain custom timeframes?..i.e. The DX current contract and/or continuous from European open @ 3A.M. EST to 3P.M. EST; the DX current and/or continuous contract during open outcry hours 8:05 A.M. EST to 3 P.M. EST.;CL current and/or continuous contract from 9 A.M.EST to 2:30 P.M. EST: the ZB or US 30 yr. Bonds current and/or continuous contract from 8:20 A.M. EST to 3 P.M. EST??

I realize it can be done with the Market Profiles because they are intra-day, BUT can you also apply this customization to longer timeframe BAR CHARTS??

Thank You.
 

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Andrew Stoeckley
MarketDelta LLC

Hello,

If I understand your question correctly, you want to create custom Sessions, such as 3am to 3pm, for individual instruments that require it. Indeed, you can over-ride any existing hours for a session, or create an entirely new Session to satisfy the period of time that interests you.

If you had a long-term bar chart that span many days, you would then create the chart with a periodicity of, for example, 720 minutes, if that session was set to 3am to 3pm, as opposed to using a Daily periodicity, if you wanted each bar to show a day based on this new session time.

Here is some more information about Sessions:

http://support.marketdelta.com/entries/118329

December 03, 2010 09:28
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bp

Thank you, Andrew.

I have used that method with some other charting systems, but they all seem to have a periodicity limit of 1440, thus precluding the ability to make a weekly(which in the case of your example would be 5 x 720=3600) chart, or obviously, also a monthly chart. Does Market Delta also have those limitations??

 

Thank you.

December 03, 2010 14:07
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Andrew Stoeckley
MarketDelta LLC

To clarify, are you trying to create a chart where each bar is an entire week, and that the data for that bar is only coming from a custom session, such as a 3am-3pm session? Also, is your custom session a subset of the actual session that the instrument trades? For example, a contract that trades 24 hours a day, but you only want to combine multiple 12 hours session into a single bar?

December 03, 2010 14:13
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bp

Yes. As in my initial question:

"Can your charting "session preferences" set an override to create Daily, Weekly and Monthly bar charts which "parallel" certain custom timeframes?..i.e. The DX current contract and/or continuous from European open @ 3A.M. EST to 3P.M. EST; the DX current and/or continuous contract during open outcry hours 8:05 A.M. EST to 3 P.M. EST.;CL current and/or continuous contract from 9 A.M.EST to 2:30 P.M. EST: the ZB or US 30 yr. Bonds current and/or continuous contract from 8:20 A.M. EST to 3 P.M. EST?? "

The data would be gleaned from the 24-hour Globex, I presume, for DX, CL, and ZB. Then, I would like to "override" it to create not only DAILY bar charts within those "override" parameters(custom time sessions), but also WEEKLY and perhaps MONTHLY(using "continuous" data) charts. 

It would seem that it is a standard option to customize ES, YM, and NQ into 24-hour, evening, and day only sessions. I would like to be able to do that for CL,DX, and ZB to conform to certain sessions for them as well respectively.

I hope that is somewhat clear. Thank you.

BP

December 03, 2010 14:30
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Andrew Stoeckley
MarketDelta LLC

Hello,

Ok, I appreciate your patience while I work out my understanding of this unique challenge. Indeed, I successfully created a test for creating "daily" bars based off a custom session of only 2.75 hours (12:30pm to 3:15pm) of the Russell. Attached is the setting for that. It works nicely for the daily bars.

I tried a similar result by stretching it out to a weekly bar. The results were mixed, and this is indeed a rather unconventional way to create such a chart. But it may work using the technique you describe, by creating a periodicity based on 825 minutes, for example, if it was 165 minutes X 5. Try it and see how it works for you.

December 03, 2010 15:04
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bp

Andrew. Please try Periodicity>1440, as in my earlier comment. I know that <1440 seems to be able to work. My question remains, since I am not running Market Delta on this computer here right now, does Market Delta have the same maximum periodicity limitation=1440 as other well know charting packages seem to have imposed on them, or can you produce, for instance, an interval of 720 x 5=3600??

Thank you for YOUR patience.

December 03, 2010 15:14
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Andrew Stoeckley
MarketDelta LLC
Ajax_loader_small Answer

Looks like your suspicions are confirmed, as the program will max out any time-based setting to 1440, even if you enter more than this. You could merge Market Profile Charts for interesting combinations of days, such as two or three day composites, or multi-week composites, but this isn't possible on multi-pane charts.

You may wish to add this request to the Feature Requests forum.

December 06, 2010 08:01
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