ASCII provider: some intraday data records skipped
Author: salldan
Creation Date: 6/16/2019 2:05 PM
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salldan

#1
Hi!

I have created an Ascii Dataset with Hourly data from the Dow30.
The symbol I use in this example MSFT but all other symbols are also showing the same behaviour.
The large parts of the data is just skipped. Please check by running this script:

CODE:
Please log in to see this code.

This script will show that not all data is being read and used.

here the output from the script:
MSFT bar 739 time 1600
MSFT bar 740 time 1400
MSFT bar 741 time 1500
MSFT bar 742 time 1600
MSFT bar 743 time 1400
MSFT bar 744 time 1500
MSFT bar 745 time 1600
MSFT bar 746 time 1400
MSFT bar 747 time 1500
MSFT bar 748 time 1600
MSFT bar 749 time 1400
MSFT bar 750 time 1500
MSFT bar 751 time 1600
MSFT bar 752 time 1400
MSFT bar 753 time 1500
MSFT bar 754 time 1600
MSFT bar 755 time 1400
MSFT bar 756 time 1500
MSFT bar 757 time 1600
MSFT bar 758 time 1400
MSFT bar 759 time 1500
MSFT bar 760 time 1600
MSFT bar 761 time 1400
MSFT bar 762 time 1500
MSFT bar 763 time 1600
MSFT bar 764 time 1400
MSFT bar 765 time 1500
MSFT bar 766 time 1600
MSFT bar 767 time 1400
MSFT bar 768 time 1500
MSFT bar 769 time 1600
MSFT bar 770 time 1400
MSFT bar 771 time 1500
MSFT bar 772 time 1600
MSFT bar 773 time 1400
MSFT bar 774 time 1500
MSFT bar 775 time 1600
MSFT bar 776 time 1400
MSFT bar 777 time 1500
MSFT bar 778 time 1600
MSFT bar 779 time 1500
MSFT bar 780 time 1600
MSFT bar 781 time 1500
MSFT bar 782 time 1600
MSFT bar 783 time 1500
MSFT bar 784 time 1600
MSFT bar 785 time 1500
MSFT bar 786 time 1600
MSFT bar 787 time 1500
MSFT bar 788 time 1600

The data file is attached.

Please notice my data has timestamps from 14:00 up until 22:00 hours as my data privider sets timestamps as the central european time because I am living in Germany and the time difference is 6 hours to NY time.
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Eugene

#2
Hi Dan,

QUOTE:
Please notice my data has timestamps from 14:00 up until 22:00 hours as my data privider sets timestamps as the central european time because I am living in Germany and the time difference is 6 hours to NY time.

This is the key. The ASCII provider supports the Market Manager tool which is preconfigured to filter out the intraday data outside market hours. The default (U.S.) market hours are 9:30am to 4:00pm. The (CET) timestamps in your data file fall outside of the regular market hours (EST). Hence you only get the bars up to 4pm.

To disable or override the MM filter you have several options:

1. To disable the filter altogether, click the yellow ribbon at the top of the MM's pane, uncheck "ASCII" and click OK.

2. For the built-in "US Equities" preset in the MM, delete the Dow 30 symbols from the Symbol pane so that its market hours would no longer apply. Make sure this market group is not set as the Default one.

3. Create a new Market, set custom Open/Close time with regard to CET, then enter symbols or use "Copy symbols from a DataSet" and Apply. Optionally, check "Use this market by default..." to apply this preference globally.
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salldan

#3
Hi Eugene!

I choose the first option and it worked perfectly! Such a small change and a huge impact!! Great!

Many many thanks
Dan
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Eugene

#4
Dan,

Glad to help you!
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