SetScaleCompressed treats last 15-min bar as new 60-min bar

Author: burunduk

Creation Date: 11/1/2015 9:06 AM

Wealth Lab » WealthScript (.NET) » SetScaleCompressed treats last 15-min bar as new 60-min bar

burunduk

11/1/2015 9:06 AM

Hi,

I'm going to turn 15-min bars into 60-min through the method SetScaleCompressed(60). It's working fine except the last 15-min bar for each day at the time of 23:45:00. In fact it treats this bar as new 60-min bar.

Here is my simple code.

CODE:
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Could you please look at this issue and advise how I can fix it.

Thank you
Pavel

Eugene

11/1/2015 9:57 AM

Hi Pavel,

At first glance, there may be nothing wrong with that. In Wealth-Lab, bars are timestamped with the time at the end of bar (FAQ). 23:45 is the time the bar ends on. This must be the last 15-minute bar that spans 23:30 to 23:45. Consequently, the 23:00 bar includes the data from 22:00:01 to 23:00:00.

burunduk

11/1/2015 10:20 AM

Hi,

Yes, that makes sense. So, the only solution is to rearrange my dataset to be timestamped with the time at the end of bar, right? I was surprised by your quik reply on Sunday.

Thanks a lot

Cone

11/1/2015 10:56 AM

QUOTE:
rearrange my dataset to be timestamped with the time at the end of bar, right?

Definitely. Wealth-Lab always assumes end-of-bar timestamps and this is important for scaling operations.

KEVINP

11/1/2015 2:43 PM

What does "rearrange my dataset" mean?

Eugene

11/2/2015 2:59 AM

@kevinp
"To use data vendor's capabilities to export the data timestamped differently (end-of-bar)".

@burunduk
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