Not plotting portion of values of external intraday DataSeries

Harapa

#1

8/6/2015 4:06 PM

I am using this code to retrieve multi symbol data to built a Data series that I will use to create various indicators. In doing so I learned that the code doesn't update value of computed Data series (e.g. CompT ) for the real time (intraday) streaming data, though it produces a value, which is more or less the same as last value built using static data. To make sure that this is the case I plotted each of symbols in price pane. As you can see (in the attachment, & SPY as an example) that even though streaming quotes were being received & Chart window updated, price pane for the same symbol was stuck at the same spot (marked by vertical red line) where streaming quote was activated.
How I can make the code to pass the RT information to the next variable (CompT or price panes in this case)?

http://4.bp.blogspot.com/-X1JnKq1lTg8/VcO9N7b8mJI/AAAAAAAAPgQ/LGouHTmWVKE/s1600/wl%2Bcomp.png

CODE:
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I am using this code to retrieve multi symbol data to built a Data series that I will use to create various indicators.  In doing so I learned that the code doesn't update value of computed Data series (e.g. CompT ) for the real time (intraday) streaming data, though it produces a value, which is more or less the same as last value built using static data. To make sure that this is the case I plotted each of symbols in price pane. As you can see (in the attachment, & SPY as an example) that even though streaming quotes were being received & Chart window updated, price pane for the same symbol was stuck at the same spot (marked by vertical red line) where streaming quote was activated. 
How I can make the code to pass the RT information to the next variable (CompT or price panes in this case)?

[img]https://www.wealth-lab.com/handlers/DownloadHandler.ashx?id=5883&password=e88cca367350443[/img]
http://4.bp.blogspot.com/-X1JnKq1lTg8/VcO9N7b8mJI/AAAAAAAAPgQ/LGouHTmWVKE/s1600/wl%2Bcomp.png

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{

protected override void Execute()
		{PadBars( 10 );
		
			{
			Bars SPY = GetExternalSymbol("Test", "SPY", true);
			Bars XIV = GetExternalSymbol("Test", "XIV", true);
			Bars VIX = GetExternalSymbol("Test", "VIX", true);
			Bars VXX = GetExternalSymbol("Test", "VXX", true);
			
			DataSeries CompT = SPY.Close + XIV.Close - VIX.Close + VXX.Close;
			CompT.Description = "Composite";
			
//Setup For Indicator Plots	
			bool abovePricePane = true;

//SPY Price
			ChartPane sPane5 = CreatePane( 40,false,true );
			PlotSymbol(sPane5, SPY, Color.Blue, Color.Red );			
			//SetPaneMinMax(sPane2, 15, 20 );
			HideVolume();
			
//XIV Price
			ChartPane sPane4 = CreatePane( 40,false,true );
			PlotSymbol(sPane4, XIV, Color.Blue, Color.Red );			
			//SetPaneMinMax(sPane2, 15, 20 );
			HideVolume();

//VIX Price
			ChartPane sPane3 = CreatePane( 40,false,true );
			PlotSymbol(sPane3, VIX, Color.Blue, Color.Red );			
			//SetPaneMinMax(sPane2, 15, 20 );
			HideVolume();			
			
//VXX Price
			ChartPane sPane2 = CreatePane( 40,false,true );
			PlotSymbol(sPane2, VXX, Color.Blue, Color.Red );			
			//SetPaneMinMax(sPane1, 15, 20 );
			HideVolume();
//CompT Price
			ChartPane sPane1 = CreatePane( 40,false,true );
			PlotSeries(sPane1, CompT, Color.Blue, LineStyle.Solid, 4 );			
			//SetPaneMinMax(sPane1, 15, 20 );
			HideVolume();

}
	  }
	}
}
[/code]

Eugene

#2

8/6/2015 4:43 PM

What you're seeing is explained in the WealthScript Programming Guide > DataSeries > Accessing Secondary Symbols > Secondary Series Synchronization.

Note that it's highly recommended to insert screenshots directly without resorting to 3rd party image hosting by clicking "Add Attachment(s)" near the Post button.

P.S. Multiple HideVolume() are superfluous: only one is enough.

wl+comp.png

Harapa

#3

8/7/2015 10:04 AM

Actually I had Synchronization in an earlier version but it didn't do much so I removed it . Here is the code with Synchronization invoked ( or I think) and plot of output (wl5).

Reg: Synchronization- if I understand correctly, this routine is suppose to align additional data series relative to the Charted/First Series by removing extra and/or adding missing bars in the secondary series.

CODE:
Please log in to see this code.

Regarding posting images with the help of 3rd party image hosting, for me the very first post template doesn't offer a choice to attach an image (see wl_3) but all "Reply" template do. So now the images are attached. BTW, I don't like to perform extra steps...

wl5.png

wl_3.png

Size:

Color:

Actually I had Synchronization in an earlier version but it didn't do much so I removed it . Here is the code with Synchronization invoked ( or I think) and plot of output (wl5).

[img]https://www.wealth-lab.com/handlers/DownloadHandler.ashx?id=5884&password=8d25a280c3e5467[/img]

Reg: Synchronization- if I understand correctly, this routine is suppose to align additional data series relative to the Charted/First Series by removing extra and/or adding missing bars in the secondary series.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{

protected override void Execute()
		{
		PadBars( 10 );
		
			{
			
			Bars SPY = GetExternalSymbol("Test", "SPY", false);
			Bars XIV = GetExternalSymbol("Test", "XIV", false);
			Bars VIX = GetExternalSymbol("Test", "VIX", false);
			Bars VXX = GetExternalSymbol("Test", "VXX", false);
			
			SPY  = Synchronize(SPY);
			XIV  = Synchronize(XIV);
			VIX  = Synchronize(VIX);
			VXX  = Synchronize(VXX);
         
			DataSeries CompT = SPY.Close + XIV.Close - VIX.Close - VXX.Close;
			CompT.Description = "Composite";
				
//Setup For Indicator Plots	
			bool abovePricePane = true;
			HideVolume();
//SPY Price
			ChartPane sPane5 = CreatePane( 40,false,true );
			PlotSymbol(sPane5, SPY, Color.Blue, Color.Red );			
			//SetPaneMinMax(sPane2, 15, 20 );
//XIV Price
			ChartPane sPane4 = CreatePane( 40,false,true );
			PlotSymbol(sPane4, XIV, Color.Blue, Color.Red );			
			//SetPaneMinMax(sPane2, 15, 20 );
//VIX Price
			ChartPane sPane3 = CreatePane( 40,false,true );
			PlotSymbol(sPane3, VIX, Color.Blue, Color.Red );			
			//SetPaneMinMax(sPane2, 15, 20 );
//VXX Price
			ChartPane sPane2 = CreatePane( 40,false,true );
			PlotSymbol(sPane2, VXX, Color.Blue, Color.Red );			
			//SetPaneMinMax(sPane1, 15, 20 );
//CompT Price
			ChartPane sPane1 = CreatePane( 40,false,true );
			PlotSeries(sPane1, CompT, Color.Blue, LineStyle.Solid, 2 );			
			//SetPaneMinMax(sPane1, 15, 20 );
			}
	  	}
	}
}
[/code]

Regarding posting images with the help of 3rd party image hosting, for me the very first post template doesn't offer a choice to attach an image (see wl_3) but all "Reply" template do. So now the images are attached. BTW, I don't like to perform extra steps...

[img]https://www.wealth-lab.com/handlers/DownloadHandler.ashx?id=5885&password=4a391ffdbd6348e[/img]

Eugene

#4

8/7/2015 1:19 PM

QUOTE:
Actually I had Synchronization in an earlier version but it didn't do much so I removed it . Here is the code with Synchronization invoked ( or I think) and plot of output (wl5).

Actually, synchronization happens in both cases of your code. You can not just disable it and chart something - that would throw an exception.

Your data makes the resulting chart appear as it does. Are you sure any of the symbols are not contained in a Market Manager group? Have you checked the data for gaps and duplicates (see Data Tool)? Anything else we need to know?

QUOTE:
for me the very first post template doesn't offer a choice to attach an image (see wl_3)

Indeed this is true. Sorry, I didn't know that as I usually do not create topics. This looks like is an oversight or maybe an intentional limitation.

Harapa

#5

8/7/2015 4:14 PM

QUOTE:
Have you checked the data for gaps and duplicates (see Data Tool)? Anything else we need to know?

SPY vs SPY actually clears all the ifs and buts (two plots are dependent on same primary data series).
Nevertheless, having worked with Fidelity data for over a year, I have never found a gap or data error for SPY, VXX, or XIV. VIX has an occasional (though very rarely) missing intraday bar (all this in 5 minute time frame).

QUOTE:
Are you sure any of the symbols are not contained in a Market Manager group?

Actually, all of these symbols were in the Market Manger as I wanted to remove all post 4:00PM bars (that occasionally are seen with VIX related symbols). I just removed all these symbols. But by this time US market are closed. I will return on Monday to report if this cured the problem....

Eugene

#6

8/8/2015 4:15 AM

I'm pretty sure that modifying market hours with the Market Manager is the culprit.

Harapa

#7

8/10/2015 9:56 AM

QUOTE:
I'm pretty sure that modifying market hours with the Market Manager is the culprit.

Unfortunately not.

WL_A. Program started before market open..streaming quotes activated before the open
WL_B. Price manually updated via Data Manager, chart replotted & strategy reapplied. Shows the existence of data bars for bottom panels.

WL_A.png

WL_B.png

Eugene

#8

8/10/2015 10:29 AM

Let me recommend you completely delete the static data for these instruments using the Data Tool, then reload it from scratch. (Deleting the symbols from the DataSet or the DataSets alone will not help unless you update data by provider with "Delete data not contained in DataSets" activated). Like you can see, I'm running your script on Google streaming data and the issue isn't reproducible for me. As quotes for VIX stopped on 9:10am today, that perfectly explains the red "line" on VIX below:

P.S. By the way, if using Fidelity data then for sure the Market Manager has zero impact on it. The Fidelity static provider hasn't been supporting the MM and there are no ongoing plans for MM support. In other words, you can not apply the market hours filter to Fidelity data.

If using other provider supported by the MM like Google or IQFeed, then an additional step is required to make sure the MM doesn't interfere: click the yellow ribbon, uncheck the data provider of your intraday data (IQFeed?), and retry.

P.P.S. Not sure if this is applicable but you might want to find this interesting:

GetExternalSymbol and 1 minute streaming data. See Cone's reply #3.

spy-streaming-goog.png

Harapa

#9

8/10/2015 12:18 PM

I just learned another limitation of this program.

QUOTE:
GetExternalSymbol and 1 minute streaming data. See Cone's reply #3.

I had looked at this before posting.

1 & 2 doesn't do any good when applied.

#3 is too complicated (I am not a programmer, neither do I wish to be..) to adapt...

BTW: Your Google example doesn't debunk the issue...check my post regarding Google time stamp for VIX related products to understand why VIX data bar is not being updated...