Weekly scaled chart not correct with monthly data
Author: Ben_Zurich
Creation Date: 9/10/2014 7:37 AM
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Ben_Zurich

#1
We have some monthly data that we want to show on a weekly chart.

The data is, however, not correctly shown in weekly mode. Some months are taken together, which distorts the continuity of the time line.

In daily mode, the monthly data is shown correctly.

On the following picture you see daily mode above weekly mode for comparision.


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Ben_Zurich

#2
Screen Shot
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Eugene

#3
Looks like GIGO principle (garbage in garbage out) in action. There are large gaps in data e.g. almost a year is missing from 2005-2006.
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Ben_Zurich

#4
The data is not missing, it was just hidden by the label:




BTW: The whole world is full of missing data. In my opinion, a system should be able to kind of handle them.
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Ben_Zurich

#5
Screen Shot
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Eugene

#6
Please zip and attach your problematic data file.
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Ben_Zurich

#7
SZCPALYY
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Eugene

#8
Which provider created this .WL data?
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Ben_Zurich

#9
Bloomberg Static
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Cone

#10
I can't read that data, can you Eugene?
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Eugene

#11
Me neither (not having Bloomberg Static installed, I copied the file over a Yahoo .WL file). So I presumed it was script-generated.
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Ben_Zurich

#12
Is something wrong with this data file?
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Cone

#13
I misunderstood. I assumed Bloomberg Static was (BB Static), not data from BBLoader.

Okay, this file contains Monthly data. It should be in a Monthly DataSet. Here's how you access it. It looks fine to me.

CODE:
Please log in to see this code.




What I see wrong with the images that you posted is that you've selected to display Monthly data in a Daily scale. The provider should probably respond that it can't display that, nonetheless, the dates of each bar are correctly labeled. If you still have a problem with this, you need to be more specific about describing what the problem is.
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Ben_Zurich

#14
Hi Cone, thank you for your reply.

The background of my requirement is this:

When I have a weekly chart with several panes involving external symbols it can happen that one of these symbols (like sentiment data and the like) have no weekly but only monthly data.

In my first chart in this thread, I show the monthly data in daily mode in the upper window, and the same monthly data in weekly mode in the lower window.

My claim was that the monthly data is displayed correctly in daily mode (you can see this easily when you spread the data), but not in the weekly mode.

My understanding was that WL6 somehow handles this situation, for instance giving in a weekly chart all data the same value until the monthly value changes.

In the present example, the ticker has monthly data that satisfy Open=High=Low=Close for all monthly data. When displayed in weekly mode however you see this condition violated, e.g. you see one weekly bar that has Open<>High<>Low<>Close, where all 4 values are mutually distinct.

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Ben_Zurich

#15
OK I have understood. I put the monthly data in a monthly data set.

But the data is still not read correctly in weekly mode. It seems to me that the data is read in as it were quarterly data (about 15 weeks with the same value).

It seems to me that in WL6 it is not possible to display monthly data correctly in weekly mode. Or else I don't know how.

With the term 'correctly' I mean: While constructing weekly bars, just take the latest monthly value before the week.

You might ask why not display monthly data in monthly mode?

I repeat that the requirement comes when you want to display weekly and monthly data together in a weekly chart.

For instance, mix COT data (weekly) with inflation data (monthly) within the same chart and display it in weekly mode.

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Ben_Zurich

#16
Your chart is correct, and looked different from mine and I have found our problem now.

The monthly ticker was in a watch list and accessed from there. This watch list XML we have changed to monthly, but it didn't help.

The problem was that in this watch list, the data set associated with this monthly ticker was registered as daily in data manager.

When I created a monthly data and copied the data in it the synchronization worked.

As a consequence we have to split most of our data sets into several categories (daily, weekly, monthly, quarterly ...).

A pity that WL6 does need this information, and it is restrictive too:

What when some data has been delivered monthly in the past and has changed to weekly at some point? How should I declare the scale in this case?

What happens when some data is missing?

There is a very easy and straight forward way to do this. it's the process to construct bars in a desired scale from either finer or coarser data. In any case this process is always well defined and does not need any other information besides the data.

Why does WL6 require this additional information?
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