Intraday bar compression is unexpected #3
Author: nortomrodrigues
Creation Date: 3/10/2020 6:24 PM
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nortomrodrigues

#1
Hi,

I´m facing an issue with ascii files with 10minutes scale compacted to 30minutes. Could you please support me to find where is my mistake.
- The end of day is 18:00;
- I generated the file some minutes after 18:00 and the graph shows a bar end = 17:40 (please see attached image1). However the file has the following lines.
Papel Data Hora Abertura Maxima Minima Fechamento VolumeFinanceiro Volume
FLRY3 06/03/2020 18:00:00 29,21 30,12 29,00 29,56 17142806,00 580800
FLRY3 06/03/2020 17:50:00 28,85 29,48 28,65 29,16 6295012,00 216700
FLRY3 06/03/2020 17:40:00 28,18 29,00 28,16 28,91 8718064,00 304100

FLRY3 06/03/2020 17:30:00 28,25 28,30 28,07 28,17 5538221,00 196200
FLRY3 06/03/2020 17:20:00 28,05 28,34 28,02 28,25 3573673,00 127000
FLRY3 06/03/2020 17:10:00 28,22 28,25 28,02 28,04 2477094,00 88000

However, other files work different as you can see attached Image2.
Papel Data Hora Abertura Maxima Minima Fechamento VolumeFinanceiro Volume
ALUP11 06/03/2020 18:00:00 27,78 28,00 27,70 28,00 1448975,00 51800
ALUP11 06/03/2020 17:50:00 27,73 27,78 27,72 27,76 194245,00 7000
ALUP11 06/03/2020 17:40:00 27,70 27,81 27,68 27,72 440794,00 15900

ALUP11 06/03/2020 17:30:00 27,66 27,72 27,65 27,70 243608,00 8800
ALUP11 06/03/2020 17:20:00 27,69 27,69 27,63 27,65 273824,00 9900
ALUP11 06/03/2020 17:10:00 27,70 27,70 27,60 27,65 251437,00 9100
ALUP11 06/03/2020 17:00:00 27,68 27,74 27,65 27,69 119053,00 4300

What I´m doing wrong that each file has a different behavior?

The files are also attached.

Best regards
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Eugene

#2
Hi Nortom,

I don't think you're doing anything wrong. Although the 10-min bars seem to be compressed into 30-min scale correctly and using the full set of data, the time stamp sometimes is wrong on some ASCII files. It varies with data range but I couldn't find a pattern. The CSV files aren't equal: FLRY3 has more bars, though. Something inside the FLRY3 data must be triggering this subtle cosmetic issue in WL.
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