Inconsistent prices when using different BarPeriods

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Inconsistent prices when using different BarPeriods #444987 08/25/14 04:39 08/25/14 04:39
Joined: Nov 2013 Posts: 123 Mithrandir77 OP Member
Mithrandir77 OP Member Joined: Nov 2013 Posts: 123	Hi, I modified an example from the manual to export prices of the diferent assets to .csv files. Here is the code: Click to reveal.. Code: function run() { BarPeriod = 60;//1440; StartDate = 2008; EndDate = 2012; LookBack = 0; //Verbose = 30; while(asset(loop("EUR/USD","USD/JPY","GBP/USD","USD/CHF"))){ char line[100]; sprintf(line, "%02i/%02i/%02i %02i:%02i, %.5f, %.5f, %.5f, %.5f, %5f\n", day(),month(),year()%100,hour(),minute(), priceOpen(),priceHigh(),priceLow(),priceClose(),price()); char file_path[100]; char a[7]; strcpy(a,Asset); sprintf(file_path, "%s %s-%s %d-%d %d minute bars%s", "Data\\export",strtok(a,"/"),strtok(0,"/"),StartDate,EndDate,BarPeriod,".csv"); if(is(INITRUN)){ //msg(Asset); file_delete(file_path); file_append(file_path,"Time,Open,High,Low,Close,Mean Price\n");} else file_append(file_path,line); } } But the problem is that there are differences between the hourly and daily bars close prices, for instance look at these fragments (Time,Open,High,Low,Close), only the 16 jun 2010 is the same. Should I worry? Why the differences? Thanks beforehand! EUR/USD Daily bars: 11/06/2010 00:00 1.19867 1.2141 1.19555 1.21292 14/06/2010 00:00 1.21292 1.22073 1.20436 1.22033 15/06/2010 00:00 1.22033 1.22973 1.21628 1.22132 16/06/2010 00:00 1.22132 1.23484 1.21671 1.23148 17/06/2010 00:00 1.23148 1.23524 1.22535 1.23015 EUR/USD Hourly bars: 11/06/2010 00:00 1.2102 1.21332 1.20995 1.213 11/06/2010 01:00 1.213 1.21475 1.21078 1.21161 11/06/2010 02:00 1.21161 1.212 1.20998 1.21039 11/06/2010 03:00 1.21039 1.21074 1.2092 1.21002 11/06/2010 04:00 1.21002 1.21128 1.20954 1.21003 11/06/2010 05:00 1.21003 1.21172 1.20985 1.21059 11/06/2010 06:00 1.21059 1.21159 1.20973 1.21131 11/06/2010 07:00 1.21131 1.21176 1.20941 1.21072 11/06/2010 08:00 1.21072 1.21394 1.21023 1.21122 11/06/2010 09:00 1.21122 1.21185 1.20903 1.21084 11/06/2010 10:00 1.21084 1.2131 1.21084 1.21279 11/06/2010 11:00 1.21279 1.21324 1.21085 1.21262 11/06/2010 12:00 1.21262 1.21515 1.21244 1.21457 11/06/2010 13:00 1.21457 1.21511 1.2082 1.2084 11/06/2010 14:00 1.2084 1.21265 1.20783 1.21157 11/06/2010 15:00 1.21157 1.21304 1.20912 1.20915 11/06/2010 16:00 1.20915 1.20933 1.20436 1.20756 11/06/2010 17:00 1.20756 1.20777 1.20545 1.20601 11/06/2010 18:00 1.20601 1.20766 1.20555 1.20617 11/06/2010 19:00 1.20617 1.20842 1.20598 1.20756 13/06/2010 23:00 1.20756 1.21505 1.20711 1.21436 14/06/2010 00:00 1.21436 1.22059 1.21436 1.2204 14/06/2010 01:00 1.2204 1.22073 1.21723 1.21744 14/06/2010 02:00 1.21744 1.21903 1.21681 1.2172 14/06/2010 03:00 1.2172 1.21808 1.21673 1.21736 14/06/2010 04:00 1.21736 1.21871 1.21733 1.21813 14/06/2010 05:00 1.21813 1.21813 1.21675 1.2173 14/06/2010 06:00 1.2173 1.21875 1.21688 1.21868 14/06/2010 07:00 1.21868 1.22036 1.21731 1.21745 14/06/2010 08:00 1.21745 1.2188 1.21628 1.21737 14/06/2010 09:00 1.21737 1.22328 1.21646 1.22233 14/06/2010 10:00 1.22233 1.22576 1.22216 1.22498 14/06/2010 11:00 1.22498 1.22515 1.22331 1.22331 14/06/2010 12:00 1.22331 1.22499 1.22158 1.22423 14/06/2010 13:00 1.22423 1.22722 1.22413 1.22647 14/06/2010 14:00 1.22647 1.22647 1.22287 1.22378 14/06/2010 15:00 1.22378 1.2278 1.22369 1.22777 14/06/2010 16:00 1.22777 1.22973 1.22725 1.22751 14/06/2010 17:00 1.22751 1.22922 1.22502 1.22503 14/06/2010 18:00 1.22503 1.2263 1.22272 1.22272 14/06/2010 19:00 1.22272 1.22412 1.22154 1.22401 14/06/2010 20:00 1.22401 1.22556 1.22202 1.22237 14/06/2010 21:00 1.22237 1.22299 1.22174 1.2219 14/06/2010 22:00 1.2219 1.2222 1.22069 1.22124 14/06/2010 23:00 1.22124 1.22259 1.22124 1.2214 15/06/2010 00:00 1.2214 1.22149 1.22044 1.22101 15/06/2010 01:00 1.22101 1.22314 1.22101 1.22251 15/06/2010 02:00 1.22251 1.22278 1.21949 1.22053 15/06/2010 03:00 1.22053 1.22185 1.22016 1.22091 15/06/2010 04:00 1.22091 1.22246 1.22072 1.22186 15/06/2010 05:00 1.22186 1.22236 1.22006 1.22077 15/06/2010 06:00 1.22077 1.22191 1.22 1.22126 15/06/2010 07:00 1.22126 1.22145 1.21674 1.21682 15/06/2010 08:00 1.21682 1.21964 1.21671 1.21929 15/06/2010 09:00 1.21929 1.22141 1.21844 1.2209 15/06/2010 10:00 1.2209 1.22481 1.2174 1.22451 15/06/2010 11:00 1.22451 1.22651 1.22441 1.22504 15/06/2010 12:00 1.22504 1.22751 1.22504 1.22601 15/06/2010 13:00 1.22601 1.22769 1.22428 1.22674 15/06/2010 14:00 1.22674 1.23041 1.22661 1.22881 15/06/2010 15:00 1.22881 1.23116 1.22605 1.23061 15/06/2010 16:00 1.23061 1.23316 1.23037 1.23255 15/06/2010 17:00 1.23255 1.23423 1.23211 1.23309 15/06/2010 18:00 1.23309 1.23484 1.23256 1.23371 15/06/2010 19:00 1.23371 1.23466 1.23301 1.23316 15/06/2010 20:00 1.23316 1.2347 1.23261 1.23449 15/06/2010 21:00 1.23449 1.23451 1.2317 1.23297 15/06/2010 22:00 1.23297 1.2332 1.23182 1.2322 15/06/2010 23:00 1.2322 1.23241 1.23141 1.23156 16/06/2010 00:00 1.23156 1.23226 1.23101 1.23148 16/06/2010 01:00 1.23148 1.23198 1.23078 1.23111 16/06/2010 02:00 1.23111 1.23221 1.23111 1.23141 16/06/2010 03:00 1.23141 1.23196 1.23071 1.23151 16/06/2010 04:00 1.23151 1.23255 1.23128 1.23171 16/06/2010 05:00 1.23171 1.23336 1.23097 1.23278 16/06/2010 06:00 1.23278 1.23393 1.23216 1.23278 16/06/2010 07:00 1.23278 1.23524 1.23201 1.23405 16/06/2010 08:00 1.23405 1.23411 1.22735 1.22855 16/06/2010 09:00 1.22855 1.23022 1.22725 1.22994 16/06/2010 10:00 1.22994 1.23032 1.22831 1.23005 16/06/2010 11:00 1.23005 1.23058 1.22815 1.22866 16/06/2010 12:00 1.22866 1.2298 1.22663 1.22791 16/06/2010 13:00 1.22791 1.22855 1.22535 1.22836 16/06/2010 14:00 1.22836 1.2317 1.22804 1.23168 16/06/2010 15:00 1.23168 1.23253 1.22933 1.23153 16/06/2010 16:00 1.23153 1.23361 1.23053 1.23217 16/06/2010 17:00 1.23217 1.23367 1.2295 1.23131 16/06/2010 18:00 1.23131 1.2321 1.22983 1.23166 16/06/2010 19:00 1.23166 1.23283 1.22999 1.23113 16/06/2010 20:00 1.23113 1.23113 1.22952 1.23016 16/06/2010 21:00 1.23016 1.23135 1.22987 1.23087 16/06/2010 22:00 1.23087 1.23138 1.22958 1.22983 16/06/2010 23:00 1.22983 1.2311 1.22978 1.2311 17/06/2010 00:00 1.2311 1.2312 1.22964 1.22982

Re: Inconsistent prices when using different BarPeriods [Re: Mithrandir77] #445138 08/28/14 12:31 08/28/14 12:31
Joined: Jul 2000 Posts: 27,986 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,986 Frankfurt	I also don't see a reason of the differences at a first glance. I've forwarded ths question to the developers - we should get a response in the next days.

Re: Inconsistent prices when using different BarPeriods [Re: jcl] #445148 08/28/14 16:19 08/28/14 16:19
Joined: Jul 2000 Posts: 27,986 Frankfurt jcl Chief Engineer
jcl Chief Engineer Joined: Jul 2000 Posts: 27,986 Frankfurt	Ok, I already got a response: The printed time is the end of the bar, not its begin. So the Open is naturally different. The Close is the same, but only almost - it can differ by 1 tick. The 1-tick difference has a technical reason due to the sampling. It does not affect the test results, but I admit that it might look ugly - therefore I've suggested to modify the sampling so that the closing tick is always the same.

Re: Inconsistent prices when using different BarPeriods [Re: jcl] #445164 08/29/14 06:29 08/29/14 06:29
Joined: Nov 2013 Posts: 123 Mithrandir77 OP Member
Mithrandir77 OP Member Joined: Nov 2013 Posts: 123	Originally Posted By: jcl Ok, I already got a response: The printed time is the end of the bar, not its begin. So the Open is naturally different. The Close is the same, but only almost - it can differ by 1 tick. The 1-tick difference has a technical reason due to the sampling. It does not affect the test results, but I admit that it might look ugly - therefore I've suggested to modify the sampling so that the closing tick is always the same. Thanks for the answer and for prompt checking it, you and the developers are doing a great job!

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