Daily gaps when intraday data contains premarket / postmarket trading

Author: jduke

Creation Date: 1/28/2020 2:54 AM

Wealth Lab » WealthScript (.NET) » Daily gaps when intraday data contains premarket / postmarket trading

jduke

1/28/2020 2:54 AM

Hi there,

I have been working with daily gaps using Fidelity intraday data, and it was pretty straightforward to code to find the first bar of the day (IntraDayBar==0) Open and subtract the previous bar's close to get the gap.

But now (happily) I have data with premarket/postmarket and I'm trying to figure out the most straightforward way to calculate the daily gap and put it in a dataseries.

I get the sense that using a SetScaleDaily and then doing some sort of calculation at the daily level would work, but it doesn't account for actual trading hours of 930 to 4pm. So then I figured I would need to calculate the time with eg

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and

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but this seems super inefficient to go through each bar and calculate these gaps then try to stuff them into a data series that is at the Daily level.

So any tips on the most straightforward approach to creating a dataseries of regular market gaps on a 1 minute dataset including pre/post market data?

Thanks!

Jon

Eugene

1/28/2020 6:47 AM

Hi Jon,

Isn't the idea of obtaining and/or trading on premarket/aftermarket data to be less affected by gaps? At any rate, if you keep using the Fidelity data to calculate the daily gap this seems like an easy workaround. For example, you could get the data with GetExternalSymbol.

P.S. Just a general observation, you should avoid hardcoding the open time as "931" as there will be times when a stock does not open at 9:31.

Cone

1/28/2020 7:22 AM

A few things to add:
1. Wealth-Lab Pro Fidelity Provider filters out pre/post market data for stocks.
2. Note that by convention Wealth-Lab intraday bar timestamps are end-of-bar, in contrast to ATPro's start-of-bar.
3. Here's the way to get the first bar of the day and the gap value in the bar loop:

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4. Make use of our Community.Components. Look for "Intraday Support Functions"

5. Finally, note that the last intraday trade close will often not match the Daily data's settled close. Consequently, if you want to get the gap w.r.t. the settled close, then you need to access the actual Daily data from the intraday chart. You can do that by using GetExternalSymbol and specifying the name of the Daily DataSet. Example:

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A few things to add: 
1. Wealth-Lab Pro Fidelity Provider filters out pre/post market data for stocks.
2. Note that by convention Wealth-Lab intraday bar timestamps are [i]end-of-bar[/i], in contrast to ATPro's start-of-bar. 
3. Here's the way to get the first bar of the day and the gap value in the bar loop:

[code]// in the Bars loop
int firstBarToday = bar - Bars.IntradayBarNumber(bar);

//So the value of the gap is: 
double gap = firstBarToday == 0 ? 0 : Open[firstBarToday] - Close[firstBarToday - 1]; 
[/code]

4. Make use of our Community.Components.  Look for "Intraday Support Functions"

5. Finally, note that the last intraday trade close will often not match the Daily data's settled close.   Consequently, if you want to get the gap w.r.t. the settled close, then you need to access the actual Daily data from the intraday chart.  You can do that by using GetExternalSymbol and specifying the name of the Daily DataSet.  Example:

[code]			// IMPORTANT: Edit "Your Daily DataSetName"
			Bars dailyBars = GetExternalSymbol("Your Daily DataSetName", Bars.Symbol, false);
			// Note that Synch is false in the previous statement because we want to work with the Daily series
			
			DataSeries gapSeries = dailyBars.Open - (dailyBars.Close >> 1);
			gapSeries = gapSeries << 1;
			
			// Now synch the result to the intraday chart and realign so that the difference falls on the first intraday bar
			gapSeries = Synchronize(gapSeries);
			gapSeries = gapSeries >> 1;
			
			// Now you can refer to today's current gap on any bar using gapSeries[bar] in the Bars loop
			// Plot it (optional)
			ChartPane gapPane = CreatePane(40, true, true);
			PlotSeries(gapPane, gapSeries, Color.Black, LineStyle.Histogram, 2);[/code]

jduke

1/29/2020 1:11 AM

Thank you both so much! This is exactly what I needed!

Best,

Jon

Eugene

1/29/2020 5:56 AM

You're welcome!

Cone

1/29/2020 10:22 AM

I should have mentioned that the solution that accesses Daily data will not work for the Fidelity Provider in real time since that Provider does not update the Daily bar before the close of the session. Consequently, if you're planning on using that code in Real Time, you'll need to either get a Daily provider that will update to get "today's" opening price, or, use the intraday solution for the current day. If you need help with that, let me know.

jduke

1/29/2020 7:26 PM

Cone,

I see what you mean now regarding using this in real-time. Indeed, when using the external symbol approach, it could not calculate the gap on the open when running in strategy monitor.

That said, the intraday solution when running on a set including premarket data uses 4am as firstBarToday, so that doesn't solve my goal of getting the 4pm to 930am gap.

So, I think your suggestion of