PremiumData: why data appears rounded?
Author: BarisKaya
Creation Date: 2/7/2014 10:28 AM
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BarisKaya

#1
hi guys,

I am getting the data from premium data and in most of the contracts, hi,low,open and close numbers are round numbers in futures contracts i.e. SB2 open 17, high 17 low 16 close 17
i'm checking from other sources and that day open was 16.90,high was 16.98, low was 16.70 and close was 16.76
is it something to do with a setting in WL or is this a problem from premium data?

thank you
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Eugene

#2
1. If you set up futures symbols in Symbol Info Manager, carefully double check your "Decimals" setting. It should be greater than 0. Remember that wildcards and regex may make an incorrect setting apply to many futures symbols.

To verify, clicking "Disable Futures mode" will temporarily disable all modifications you may have made there. Then go through your charts again.

2. Additionally, Preferences dialog (F12) > Advanced Options > Decimal Places: pricing d.p. should also be > 0.

If none of these helped, it's the data.
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BarisKaya

#3
yes now seeing it properly. Thank you Eugene
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Cone

#4
I've attached a SymbolInfo.xml file that should work for most PremiumData futures symbols. It will save you a lot of time, although you may want to modify the margin values. Close Wealth-Lab, replace SymbolInfo.xml in C:\Users\Username\AppData\Roaming\Fidelity Investments\WealthLabDev\1.0.0.0\Data\ with the attached. Start Wealth-Lab.
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BarisKaya

#5
thanks Cone
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BarisKaya

#6
i've got a different problem with forex symbols now, most of the pairs bar data shows 2 decimals only and in most cases more than 2 decimal is required for forex to see the full price action. i.e. for USDCHF open 0.89, high 0.90, low 0.89 and close 0.90 which doesnt mean anything actually. Would appreciate some help. thanks
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Eugene

#7
If upping the Decimals in Symbol Info Manager and/or in Preferences > Advanced Options isn't doing the trick, it must be the data itself.
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Cone

#8
You should treat Forex like Futures in Wealth-Lab. You need to enter those pairs in the Symbol Info Manager, and remember that 1 forex lot is a notional 100,000 of the first currency in the cross.

Note, however, that Wealth-Lab doesn't fully support forex. The important thing to remember is that for Wealth-Lab the second currency in the cross must be your base currency for testing (usually USD).

In other words, a backtest that includes EUR/USD and GBP/USD is fine. But a backtest that mixes EUR/USD with EUR/AUD will not provide the correct results since the profit for EUR/USD will be in USD, and the profit for EUR/AUD will be in AUD.
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BarisKaya

#9
thanks