When using multiple assets, how are missing candles presented?

Posted By: johnnyp

When using multiple assets, how are missing candles presented? - 10/11/17 19:59

I am considering trying to use currency strength analysis to boost my trading strategy, however I am going to have to re-implement it in MQL4 to be run in MetaTrader in a context that doesn't allow DLLs. So...

Here is my question...

sometimes an asset has no candle for a given minute because there were no ticks during that minute. How does Zorro handle this?

* Is that asset skipped in loop(Assets)?
* Does Zorro present the previous candle again?
* Does Zorro generate a synthetic candle with OHLC all equal to the previous close price?
Posted By: jcl

Re: When using multiple assets, how are missing candles presented? - 10/12/17 07:35

If it was the first asset, bars are extended so that they have at least one tick. Subsequent assets get synthetic candles that are in some way interpolated.
Posted By: johnnyp

Re: When using multiple assets, how are missing candles presented? - 10/12/17 08:21

Interpolated how?
I hope the interpolation doesn't rely on future candles!
Posted By: jcl

Re: When using multiple assets, how are missing candles presented? - 10/12/17 09:09

Nope. Past candles only. I believe the 2 previous candles.
Posted By: johnnyp

Re: When using multiple assets, how are missing candles presented? - 10/12/17 18:02

Can you be more specific?
I need to be able to recode this in MQL4.

Is there a good reason to treat the subsequent assets differently to the first one?

I find the idea of replacing missing bars by interpolation to be strange. If there is simply a hole in the data, then fine interpolation may reduce the jump that occurs when the next data point arrives. But if the prices are simply not moving, then interpolation will lead you astray. Does interpolation happen when trading live too?

Is it possible to tell Zorro how I want it to deal with missing bars? If not could this be added? For example...

MissingBars = MB_SKIP; // could mean to skip assets with a missing bar. I can see how this option could be tricky to implement.
MissingBars = MB_INTERPOLATE; // could mean to create synthetic bars by interpolation.
MissingBars = MB_ADDTICK; // could mean to create synthetic bars by adding a single tick equal to the previous close price.
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