Hi,

I notice that between two minute runs of my strategy, in stream mode, the upcoming candlestick starts taking shape in the pane throughout the time interval. Is it the case that there is data coming in in the interval? If so, how can it be tapped into?

Thanks and Regards,

It's called the "ghost bar". Wealth-Lab executes Strategies only at the end of the selected interval, so they have no knowledge of data in the ghost bar, i.e., you can't tap into it. If you need data at a higher frequency, use a lower interval.

Is this still true 16 months later? I have found several posts here that say essentially the same thing, but all are even older than this one. I need access to sub-minute data for a single symbol, and I'm not very optimistic after searching the forum. I just thought I would ask for confirmation that strategies still cannot be automatically executed on sub-minute tick data. Thanks!

If you have a tick data provider, sure, you can run a strategy on it. Remember, when streaming, the strategy will run for EVERY new tick, or for whatever multiple of ticks you choose in the Scale control. It's been this way ... forever.

QUOTE:
I just thought I would ask for confirmation that strategies still cannot be automatically executed on sub-minute tick data.

Just to add to Cone's reply, the Strategy Monitor does not operate on Tick and Second scales. It's not meant to be a HFT tool.

I'm still quite new to Wealth-Lab, so please bear with me. Cone stated that "the strategy will run for EVERY new tick." When streaming from Fidelity, are the updates to the "ghost" bar not ticks? I may be fuzzy on my terminology here, but I was under the impression that a tick was a sort of intermediate data point within a bar. So despite there being sub-minute data coming in from Fidelity to populate the ghost bar, there is no way to act on this data prior to the completion of the bar, right? Cone, are you saying that, with the right streaming data provider, this is possible? Eugene, I understand that the Strategy Monitor cannot be used in this way, but what about streaming in the strategy window? Ultimately, I am trying to determine the maximum amount of time that may elapse from the time a symbol price crosses a threshold until a trade can be placed. If the price threshold is crossed 5 seconds into a 1-minute bar (t=5), do I have to wait until the end of the minute (t=60) to "see" this event with my strategy and generate a trade order? And then when the order is generated to trade on the next bar, is the order delayed until the end of the next bar (t=120) or is it placed as soon as Wealth-Lab can process it (60<t<120)? Thanks for your help!

QUOTE:
When streaming from Fidelity, are the updates to the "ghost" bar not ticks?

Ghost bar. Not ticks. Minimum bar scale that you can obtain from Fidelity is 1-minute.

QUOTE:
there is no way to act on this data prior to the completion of the bar, right?

No, never been, and not required. Please see FAQ > Is it necessary to have access to intra-bar tick data to daytrade with Wealth-Lab?

QUOTE:
If the price threshold is crossed 5 seconds into a 1-minute bar (t=5), do I have to wait until the end of the minute (t=60) to "see" this event with my strategy and generate a trade order?

Yes. See the FAQ above.

Thank you for clearing that up. I'll have to determine if this is something I can live with or not, but at least I now understand what what it does and does not do. Can you please answer my last question about order placement timing? Is the order placed as soon as possible after the end of the bar whose data triggered my strategy to order a trade (t>60) or is it placed at the end of the next bar (t>120)? Thanks!

QUOTE:
Is the order placed as soon as possible

I thought it is evident after reading the FAQ: an Alert is fired right after completion of the interval (if it's not, here are possible reasons > "Alerts are not triggered").

To add to the FAQ, notice that if you trade stop or limit orders, they most certainly will execute between bar intervals. The Strategy (which you asked about) just won't know that the order executed until after the fact, which is fine.

Example:
Look at MSFT yesterday, 1/28/2014, 30-minute bars in Wealth-Lab, and specifically the 15:30 bar that closed at 41.65.

(Don't forget that WLP time stamps bars at the end of the interval, whereas ATP charts are beginning of the interval. So the 15:30 bar in WLP represents trading from 15:00:00.000 to 15:29:59.999)

Assume your Strategy runs on this 15:30 bar and generates an Alert to BuyAtLimit at 41.41, which is Placed by the Order Manager and goes "Active". Indeed, this order would have executed by 15:40 (judging by the 1-minute bars), but the Strategy won't be aware of this fact - nor does it need to be aware - until it runs again at 16:00. At this time, the 16:00 bar will enter the chart, the Strategy will run and be aware that the limit order [hypothetically] created a trade at 41.41, which you'll now see on the chart.

I added "hypothetically" because a Wealth-Lab Strategy does not get feedback from the live account about positions. It just knows that a position should have been created. For more discussion, see User Guide > Orders > Portfolio Synch > Theoretical vs. Actual