Precise AssetMarketStart/End

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Re: Precise AssetMarketStart/End [Re: Zheka] #485698 04/15/22 09:28 04/15/22 09:28
Joined: Jul 2000 Posts: 27,982 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,982 Frankfurt	Thanks for the logs. Setting BarZone temporarily by script, as suggested, did not really work. BarZone is also internally used outside the script. So that was a bad advice in the manual. We will think about a better solution for using local asset zones. Probably by automatically overriding BarZone when BR_ASSET is set. This will be implemented in the next beta version.

Re: Precise AssetMarketStart/End [Re: Zheka] #485700 04/15/22 12:49 04/15/22 12:49
Joined: Jul 2017 Posts: 784 Z Zheka OP User
Zheka OP User Z Joined: Jul 2017 Posts: 784	It would be great if market hours were set to AssetMarketStart/End in AssetMarketZone automatically, without having to dance around with StartMarket=AssetMarketStart, etc.. Any hints/confirmation on BR_ASSET working for FX and SPX500, but not for SPY?

Re: Precise AssetMarketStart/End [Re: Zheka] #485708 04/16/22 11:12 04/16/22 11:12
Joined: Apr 2008 Posts: 585 Austria Petra Support
Petra Support Joined: Apr 2008 Posts: 585 Austria	Maybe SPY had no market time in the asset list? You can check with is(NOSHIFT) if series are shifted or not.

Re: Precise AssetMarketStart/End [Re: Zheka] #485710 04/16/22 12:25 04/16/22 12:25
Joined: Jul 2017 Posts: 784 Z Zheka OP User
Zheka OP User Z Joined: Jul 2017 Posts: 784	Have a (closer) look at the log I provided - it prints AssetMarketStart/End set for the asset. Upd: ! even if you set AssetMarketStart/End/Zone directly in the script, NOSHIFT is NOT getting set for SPY, but IS set for SPX500 and FX. Last edited by Zheka; 04/16/22 12:49.

Re: Precise AssetMarketStart/End [Re: Zheka] #485758 04/19/22 10:23 04/19/22 10:23
Joined: Apr 2008 Posts: 585 Austria Petra Support
Petra Support Joined: Apr 2008 Posts: 585 Austria	Maybe SPY has no bars outside its market hours? Then none of its bars would get the NOSHIFT.

Re: Precise AssetMarketStart/End [Re: Zheka] #485759 04/19/22 11:14 04/19/22 11:14
Joined: Jul 2017 Posts: 784 Z Zheka OP User
Zheka OP User Z Joined: Jul 2017 Posts: 784	Maybe yes - maybe no...log knows Quote [87: Tue 22-01-04 20:30] 477.88/478.32\477.71/478.25 -0.03 cls1=478.25000,Mark1Start=730,mark1end=1601, market=1, susp=0 [88: Tue 22-01-04 20:45] 478.26/478.48\477.91/478.38 -0.03 cls1=478.38000,Mark1Start=730,mark1end=1601, market=1, susp=0 [89: Tue 22-01-04 21:00c] 478.38/478.96\477.44/477.51 -0.03 cls1=477.51001,Mark1Start=730,mark1end=1601, market=0, susp=8 [90: Tue 22-01-04 21:15c] 477.51/477.65\477.25/477.34 -0.03 cls1=477.34000,Mark1Start=730,mark1end=1601, market=0, susp=8 [91: Tue 22-01-04 21:30c] 477.35/477.58\477.25/477.41 -0.03 cls1=477.41000,Mark1Start=730,mark1end=1601, market=0, susp=8 [92: Tue 22-01-04 21:45c] 477.42/477.48\477.28/477.48 -0.03 cls1=477.48001,Mark1Start=730,mark1end=1601, market=0, susp=8 [93: Tue 22-01-04 22:00c] 477.48/477.48\477.35/477.42 -0.03 cls1=477.42001,Mark1Start=730,mark1end=1601, market=0, susp=8

Re: Precise AssetMarketStart/End [Re: Zheka] #485760 04/19/22 11:41 04/19/22 11:41
Joined: Jul 2000 Posts: 27,982 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,982 Frankfurt	A new version will be uploaded in short with a change in handling asset zone and market hours. BarZone will then be automatically set. This will probably not solve your SPY problem, but simplify the script. If it then still does not work, please contact support with the script and asset list. We'll look into that.

Re: Precise AssetMarketStart/End [Re: Zheka] #485771
04/20/22 16:28 04/20/22 16:28

Joined: Jul 2017
Posts: 784

Zheka

OP
User

Zheka

OP
User

Joined: Jul 2017
Posts: 784

I just tested the new version and found several problems, but let's take it one by one.

Code

function run() {
	
	set(LOGFILE);
	NumYears=1;
	Verbose=3;
   
      BarPeriod=15;
	
	BarZone=ET;		
	StartWeek=71800;
	EndWeek=51701;
		
BarMode = BR_WEEKEND+BR_NOSHIFT+BR_LOCAL+BR_LEISURE;

MaxLong=-1;

#ifndef first	
	asset("EUR/USD");	  
	
	       AssetMarketZone=ET;	
		AssetMarketStart = 1800;
		AssetMarketEnd = 1701;	
	 
	  vars prcI= series(priceC(0)); 
	  vars opnI= series(priceO(0));
	
	   printf("# opn1=%.5f,cls1=%.5f,Mark1Start=%i,mark1end=%i, market=%i,susp=%i,noshift=%i",opnI[0],prcI[0],AssetMarketStart,AssetMarketEnd,market(ET,0),suspended(), is(NOSHIFT));
#endif
	
#ifdef second	
	asset("SPY");	
	
	AssetMarketZone=ET;	
	AssetMarketStart = 0730;
	AssetMarketEnd = 1601;	
	
	vars prc= series(priceC(0));
	vars opn= series(priceO(0));
	printf("# opn2=%.2f,cls2=%.2f, mark2start=%i,mark2end=%i, market=%i,susp=%i,noshift=%i",opn[0],prc[0],AssetMarketStart,AssetMarketEnd,market(ET,0),suspended(), is(NOSHIFT));	
#endif	
/*	
	LifeTime=8;
	//if (ltod(ET,0)>AssetMarketEnd-1)
	if (prc[0]>prc[1]) enterLong();

*/	
}

doesn't work:

Code

[92: Mon 22-01-03 22:00] 1.12981/1.12993\1.12969/1.12974 -0.00004 opn1=1.12981,cls1=1.12974,Mark1Start=1800,mark1end=1701, market=1,susp=0,noshift=0
[93: Mon 22-01-03 22:30c] 1.12975/1.12977\1.12943/1.12943 -0.00004 opn1=1.12975,cls1=1.12943,Mark1Start=1800,mark1end=1701, market=0,susp=8,noshift=0
[94: Mon 22-01-03 22:45c] 1.12943/1.12962\1.12943/1.12954 -0.00004 opn1=1.12943,cls1=1.12954,Mark1Start=1800,mark1end=1701, market=0,susp=8,noshift=0
[95: Mon 22-01-03 23:00c] 1.12954/1.12965\1.12951/1.12955 -0.00004 opn1=1.12954,cls1=1.12955,Mark1Start=1800,mark1end=1701, market=0,susp=8,noshift=0
[96: Mon 22-01-03 23:15] 1.12955/1.12978\1.12955/1.12977 -0.00004 opn1=1.12955,cls1=1.12977,Mark1Start=1800,mark1end=1701, market=1,susp=0,noshift=0

1830(start)-1701(end) - works; 1900-1801 - works, but any AssetMarketEnd>1801 - doesn't work.
Other combinations like 1600(start)-1501(end) do not work either.

Last edited by Zheka; 04/20/22 16:39.

Re: Precise AssetMarketStart/End [Re: Zheka] #485784 04/21/22 11:12 04/21/22 11:12
Joined: Jul 2000 Posts: 27,982 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,982 Frankfurt	Yes, this was indeed a bug. It is supposedly fixed in the latest beta - please check it out.

Re: Precise AssetMarketStart/End [Re: Zheka] #485786 04/21/22 14:10 04/21/22 14:10
Joined: Jul 2017 Posts: 784 Z Zheka OP User
Zheka OP User Z Joined: Jul 2017 Posts: 784	One thing is fixed, but another appeared.. [99: Tue 22-01-04 00:00] 1.12994/1.13020\1.12982/1.13020 -0.00004 opn1=1.12994,cls1=1.13020,Mark1Start=2000,mark1end=1901, market=1,susp=0,noshift=0 [100: Tue 22-01-04 00:15c] 1.13020/1.13066\1.13014/1.13064 -0.00004 opn1=1.13020,cls1=1.13064,Mark1Start=2000,mark1end=1901, market=0,susp=8,noshift=0 <--noshift should be set here [101: Tue 22-01-04 00:30c] 1.13064/1.13069\1.13039/1.13041 -0.00004 opn1=1.13020,cls1=1.13064,Mark1Start=2000,mark1end=1901, market=0,susp=8,noshift=1 [102: Tue 22-01-04 00:45c] 1.13041/1.13055\1.13040/1.13048 -0.00004 opn1=1.13020,cls1=1.13064,Mark1Start=2000,mark1end=1901, market=0,susp=8,noshift=1 [103: Tue 22-01-04 01:00c] 1.13048/1.13064\1.13040/1.13057 -0.00004 opn1=1.13020,cls1=1.13064,Mark1Start=2000,mark1end=1901, market=0,susp=8,noshift=1 [104: Tue 22-01-04 01:15] 1.13057/1.13089\1.13055/1.13085 -0.00004 opn1=1.13057,cls1=1.13085,Mark1Start=2000,mark1end=1901, market=1,susp=0,noshift=0 Aren't fixes tested at all?? It now works with SPY, but NOSHIFT "ends" 1 bar earlier than market opens: [53: Tue 22-01-04 12:00c] 479.56/479.63\479.41/479.41 -0.03 opn2=477.76,cls2=477.60, mark2start=730,mark2end=1601, market=0,susp=9,noshift=1 [54: Tue 22-01-04 12:15c] 479.40/479.45\479.27/479.27 -0.03 opn2=477.76,cls2=477.60, mark2start=730,mark2end=1601, market=0,susp=9,noshift=1 [55: Tue 22-01-04 12:30] 479.27/479.33\478.65/478.75 -0.03 opn2=479.27,cls2=478.75, mark2start=730,mark2end=1601, market=1,susp=1,noshift=0 <-- this bar is outside of market hours, yet price series get shifted [56: Tue 22-01-04 12:45] 478.72/479.05\478.72/478.95 -0.03 opn2=478.72,cls2=478.95, mark2start=730,mark2end=1601, market=1,susp=1,noshift=0 Last edited by Zheka; 04/21/22 14:22.

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