I want to create a program that looks into the intraday data after the market is closed to plot open, high, low, close.
For example, on Natural GAS the market session is from 18:00 to 17:15. There are no tick records when the session is closed on the data that we have. The last tick record is usually at 17:14 and the next tick record is usually 18:01. What I want is a program to execute a process at 17:30.
Most backtesters that I’ve encountered: NinjaTrader, MetaTrader, Wealth Lab etc, processes records on a line by line basis and NOT on a TIME basis. To tell the system to start accumulating open, high, low, close data I have to tell the system that: the current tick time on the current record is greater than my defined session open which is 18:00, and the previous tick time on the previous record is less then 18:00.
This is all for a backtest and the process that I want to execute at 17:30 is to update a customized indicator we have. The solution I’m thinking of is to define a clock that is outside of my backtester that updates on a minute by minute basis. This clock would essentially update my indicator. But ... I’m thinking that this clock would have to be synchronized to the current tick record.
Are there any backtesters out there that describes what I’m talking about ???
For example, on Natural GAS the market session is from 18:00 to 17:15. There are no tick records when the session is closed on the data that we have. The last tick record is usually at 17:14 and the next tick record is usually 18:01. What I want is a program to execute a process at 17:30.
Most backtesters that I’ve encountered: NinjaTrader, MetaTrader, Wealth Lab etc, processes records on a line by line basis and NOT on a TIME basis. To tell the system to start accumulating open, high, low, close data I have to tell the system that: the current tick time on the current record is greater than my defined session open which is 18:00, and the previous tick time on the previous record is less then 18:00.
This is all for a backtest and the process that I want to execute at 17:30 is to update a customized indicator we have. The solution I’m thinking of is to define a clock that is outside of my backtester that updates on a minute by minute basis. This clock would essentially update my indicator. But ... I’m thinking that this clock would have to be synchronized to the current tick record.
Are there any backtesters out there that describes what I’m talking about ???
