Different Opening Times

If you are mixing data from different financial markets, please be aware of the implications of mixing markets that don’t have the same market opening times. To use “Other Instrument data” from both markets in an indicator, alert, prediction, or trading strategy, you must make sure that you choose a chart frequency that allows the data bars to align for both markets.

Take as an example the use of hourly bars when using data from Market X that opens at 9:30 and data from Market Y that opens at 9:45. The hour boundaries for each bar are based on the market opening time. The hourly bars for Market X will be at 10:30, 11:30, 12:30, 1:30, 2:30, etc. The hourly bars for Market Y will be at 10:45, 11:45, 12:45, 1:45, 2:45, etc.

You can chart Market X and Market Y hourly bars on the same chart, with the only result being that data for each will not line up on the same times. HOWEVER, if you try to combine the data in indicators, alerts, predictions, or trading strategies, the result will be that the Trader can not match up the times and therefore doesn’t make any calculations. Indicators and alerts will show up as having no data. Predictions and trading strategies will have no calculations and therefore no trades.

To use data from different markets, you must make sure to reduce the chart frequency down to a frequency that allows the data bars to align. In the example above, you would want to use 15 minute bars so that the data from both markets would align. By using 15 minute bars, the 15 minute bars for Market X would be 9:45, 10:00, 10:15, 10:30, etc. The 15 minute bars for Market Y would be 10:00, 10:15, 10:30, 10:45, etc. In this case, calculations that use data from both markets would not be calculated at 9:45 when only Market X data exists, but would be calculated for all subsequent bars where data for both Market X and Market Y exists.

Different Closing Times

There are also similar closing time considerations. Quote.com returns a bar at the time of the closing, so a market that opens at 9:30 and closes at 4:15 would have a 1:30, 2:30, 3:30 and then 4:15 bar. Other markets may end with a 4:00 bar. As another example, suppose you used 5 minute bars on a QQQ chart (which closes at 4:15), but you used DELL prices in the neural net (DELL closes at 4:00). The net will not be functioning after 4:00 because inputs are missing, so you won’t get signals after 4:00.

Different Delay Times

Mixing of delayed data of different delays (NYSE versus NASDAQ) or mixing of delayed data and realtime data will have the same result. That result is that calculations which use both data streams will only calculate up to the most delayed data stream. So the calculations will appear to lag the most recent data (and trades from predictions/trading strategies will also appear to lag the most recent data, occurring only as the most delayed data comes in).

If you have a 5 minute chart using 20 minute delayed, 15 minute delayed and realtime data all in the same calculations, then the end of your chart will have the timestamps from right to left 10:30, 10:25, 10:20, 10:15, 10:10, 10:05 etc. The realtime data will be updating on the 10:30 bar. The 15 minute delayed data will be updating on the 10:15 bar and the 20 minute delayed data will be updating on the 10:10 bar.

Any calculations that use the 20 minute delayed data will only go as far as the 10:10 bar. Any calculations that use the 15-minute delayed, but not the 20 minute delayed will only calculate to the 10:15 bar.

If you are using a trading strategy or prediction that uses the delayed data, the trades will suddenly “popup” on the bars where the last calculation is occurring. So in effect it will appear like the trades are occurring on past bars, but that is because the trading strategy or prediction is using delayed data and therefore is making its decisions in the past as the delayed data occurs. So be very aware of what exchanges for which you are paying real time fees to Quote.com.

Different Overnight Times

Finally, as we introduce release 4.0, you will have the choice to include overnight trading, which means yet another instance where care must be taken. If you build trading models with overnight data included, make sure that “Other instrument data” you use in the model exists overnight in the same timeframes as well.