How to update intraday stock values, for analysis using Daily prices?

Author: marc888

Creation Date: 10/20/2009 10:16 PM

Wealth Lab » WealthScript (.NET) » How to update intraday stock values, for analysis using Daily prices?

marc888

10/20/2009 10:16 PM

Hi,

I created a few strategies to search for trading indicators based on the Daily High, Low, Close stock prices.
When I update and run the strategies during intraday - when the market is in session, WealthLab Pro only update to the previous trading day's price information.

Is there any way, where I can also force WealthLab to use the current trading day's High, Low, Last stock prices to be updated for analysis?

Any help would be greatly appreciated!

Thank you,
Marc

Eugene

10/21/2009 2:02 AM

Hi Marc,

Accessing the current trading day's data makes little sense for analysis because the OHLC bar is unfinished by definition. Currently, working with indicator's partial values isn't supported but may happen in the future.

marc888

10/24/2009 12:57 AM

Hi Eugene,

Am I right in presuming you work for Wealth Lab?

I am not sure you understand the nature of my request:
I have already missed many trading indicators, because WealthLab is not able to use the current trading day's High, Low, Last (Last does not need to be the Closing price, just the most recent trading price) prices for analysis.

And that is the reason I am so interested in this feature.
I don't want to find out that the trading opportunity has already past, because Wealth Lab always work on stale data.

Eugene

10/24/2009 2:54 AM

Yes.

I feel like completely understood your request, but am not sure if you understand that you can not use the current day's High and Low until the closing bell because it can easily change.

We believe that the support for accessing the "ghost bar" data will eventually make it in Wealth-Lab 5.x (after all, there already is PartialValue).

Cone

10/24/2009 4:09 AM

QUOTE:
Is there any way, where I can also force WealthLab to use the current trading day's High, Low, Last stock prices to be updated for analysis?

Use the Yahoo! static adapter for EOD prices and the enable the option to grab the values for the current day. TC2007 will update about 8000 stocks in 30 to 60 seconds with the most-recent values as well.

The question is the validity of your methods. If you're doing this to generate an order at the close of the day, then okay. But, if you do it throughout the day for an EOD strategy, then you're making a mistake since your backtest doesn't simulate what you're doing in real life. In this case, you should be trading an intraday Strategy, but generate indicators based on the Daily scale.

Also, you can update a Daily indicator, say a moving average, recalculating its current value throughout the day using intraday values. This is also valid for backtesting and trading.

Cone

10/24/2009 4:23 AM

Here's an example of that last method that I already had prepared -

CODE:
Please log in to see this code.

Edit 10/8/2010: Just spotted an error to this procedure, now corrected.

Size:

Color:

Here's an example of that last method that I already had prepared -

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
    public class SMADailyOnIntradayBasis : WealthScript
    {        
        StrategyParameter _period;

public SMADailyOnIntradayBasis()
        {
            _period = CreateParameter("Period", 20, 1, 100, 1);
        }            
        
        public int FirstBarofDay(int startDay)
        {
            int cnt = 0;
            int firstBar = Bars.Count;
            for (int bar = 0; bar < Bars.Count; bar++)
            {
                if( Bars.IntradayBarNumber(bar) == 0 ) cnt++;
                if( cnt == startDay )
                {
                    firstBar = bar;
                    break;
                }
            }
            return firstBar;
        }
        
        protected override void Execute()
        {                
            SetScaleDaily(); 
            DataSeries dailyCloses = Close;
            RestoreScale();
            dailyCloses = Synchronize(dailyCloses);
            
            double daySum = 0d;
            int db = 0;
            bool isInitialized = false;
            int per = _period.ValueInt;        // number of days for moving average
                        
            // the "instantaneous" sma is the sum + Close of the current bar / period
            DataSeries sma = new DataSeries(Bars, "Daily SMA on Intraday Basis");
            
            for (int bar = FirstBarofDay(per); bar < Bars.Count; bar++)
            {                            
                // On the first bar of the day, sum the previous per - 1 *day values*
                if( Bars.IntradayBarNumber(bar) == 0 )
                {
                    daySum = 0d;
                    int stBar = bar - Bars.IntradayBarNumber(bar);    // first bar of current day
                    for (int n = 1; n < per; n++)
                    {
                        stBar--;    // last intraday bar of a previous 
                        daySum += dailyCloses[stBar];
                        stBar -= Bars.IntradayBarNumber(stBar);        // back to first bar of stBar day
                    }
                }
                // Calculate the average for the contribution of the close of this bar
                sma[bar] = ( daySum + Close[bar] ) / per;                
            }
            PlotSeries(PricePane, sma, Color.Blue, LineStyle.Solid, 2);
            
            
            // Compare it to the pure Daily SMA
            SetScaleDaily(); 
            DataSeries smaDay = SMA.Series(Close, per);
            RestoreScale();
            smaDay = Synchronize(smaDay);
            PlotSeries(PricePane, smaDay, Color.Black, LineStyle.Solid, 1);
        }
    }
}[/CODE]

Edit 10/8/2010: Just spotted an error to this procedure, now corrected.

Wealth Lab » WealthScript (.NET) » How to update intraday stock values, for analysis using Daily prices?