Hello,
How does tickstory map data to bars in metatrader?
I've been running backtests with the S&P500 and seeing some strange things. In my data, in 2012 the first candle on each day has a time of 0700, which on the next candle switches to 1430, the daily period then runs 1430-2130. So this seems to be the US market times but on UK GMT time. Apart from the 0700 this makes sense as I output data in UTC timezone.
The problem is I continue the backtest and then in 2013 the daily periods (between the period separators in MT4) change to 1130-2000. Then in 2014 it changes again to 0000-2300, and in 2015 the daily periods change again to 0600-2000, and then 0700-2100.
My EA I am testing trades at certain of the day, so I need to know when to change the settings during the backtests.
1) How does Tickstory map the data to bars/times?
2) If I select UTC/GMT/etc when outputting to MT4 does it work to this time or does the broker time in the terminal affect things in some way?
3) Does the data take into account changes in daylight savings time during the backtest automatically? (Looks like it does from the changes described above)
4) Why do the times change significantly in this way in my backtest? Has anyone seen this before? What could drive this? Could I have made a mistake in the "output to MT4" or something?
Any help much appreciated!
Thanks.
Times and Timezones with Tickstory Data
Re: Times and Timezones with Tickstory Data
Hi Parkzo,
The availability of data from Dukascopy is based on their CFD-traded instruments and appears to be patchy in the earlier years. Just be wary of this when performing your back-tests. If you are missing full bars (such as in an hourly time-frame) then you are best off using the data from 2015 onwards.
Regarding your questions:
1) Tickstory takes each indivdual tick, adjusts the time-zone to that chosen and then creates a bar of the given time-frame.
2) If you're using v1.8.5, selecting "None" as a time-frame will utilise the data as-is (prior to this, selecting "UTC" would have the same effect). Once converted into the chosen time-frame by the Tickstory export, there are no further shifts that are done to the data (unless you have a specialised EA/script that is explicitly doing this).
3) Yes, DST is catered for. Click the 'i" button to the side of the time-zone button to see a (high-level) description of what DST shifts are applied.
4) As mentioned, this the raw data coming from Dukascopy. You can view the raw data (including unshifted timezone) in Tickstory's Data Inspector.
Regards.
The availability of data from Dukascopy is based on their CFD-traded instruments and appears to be patchy in the earlier years. Just be wary of this when performing your back-tests. If you are missing full bars (such as in an hourly time-frame) then you are best off using the data from 2015 onwards.
Regarding your questions:
1) Tickstory takes each indivdual tick, adjusts the time-zone to that chosen and then creates a bar of the given time-frame.
2) If you're using v1.8.5, selecting "None" as a time-frame will utilise the data as-is (prior to this, selecting "UTC" would have the same effect). Once converted into the chosen time-frame by the Tickstory export, there are no further shifts that are done to the data (unless you have a specialised EA/script that is explicitly doing this).
3) Yes, DST is catered for. Click the 'i" button to the side of the time-zone button to see a (high-level) description of what DST shifts are applied.
4) As mentioned, this the raw data coming from Dukascopy. You can view the raw data (including unshifted timezone) in Tickstory's Data Inspector.
Regards.
Re: Times and Timezones with Tickstory Data
Thanks for the responses, this makes it easier to understand. This is the first time I've built an EA so reliant on time so just getting used to the settings. I've always just selected UTC in the past.
So to confirm, because the data is coming from Dukascopy selecting "none" or "UTC" when you say data will be "as is" do you mean in the timezone utilised by the Dukascopy platform?
If I want to compare the data I output from Tickstory side by side to the data in my broker terminal I would set the timezone to the one my broker is operating on?
Is the tick data based on what was the live Dukascopy data?
The random out of hours ticks are confusing but I might be able to see what's going on when I compare to my broker. Obviously won't be exact match but I'll be able to see where the market open and closes should be.
Thanks again.
So to confirm, because the data is coming from Dukascopy selecting "none" or "UTC" when you say data will be "as is" do you mean in the timezone utilised by the Dukascopy platform?
If I want to compare the data I output from Tickstory side by side to the data in my broker terminal I would set the timezone to the one my broker is operating on?
Is the tick data based on what was the live Dukascopy data?
The random out of hours ticks are confusing but I might be able to see what's going on when I compare to my broker. Obviously won't be exact match but I'll be able to see where the market open and closes should be.
Thanks again.
Re: Times and Timezones with Tickstory Data
Hi Parkzo,
In response to your questions:
{quote]
Thanks for the responses, this makes it easier to understand. This is the first time I've built an EA so reliant on time so just getting used to the settings. I've always just selected UTC in the past.
{/quote]
If you are building an EA for others to use, it would be recommended to continue to use UTC and a UTC offset (which is a parameter in your EA). This will allow you to change the offset for whatever broker you are using it on.
Regards.
In response to your questions:
{quote]
Thanks for the responses, this makes it easier to understand. This is the first time I've built an EA so reliant on time so just getting used to the settings. I've always just selected UTC in the past.
{/quote]
If you are building an EA for others to use, it would be recommended to continue to use UTC and a UTC offset (which is a parameter in your EA). This will allow you to change the offset for whatever broker you are using it on.
Correct. The raw time stamp used by Dukascopy. In the case of currencies, this is UTC. In the case of indices, this is in the native exchange's timezone.So to confirm, because the data is coming from Dukascopy selecting "none" or "UTC" when you say data will be "as is" do you mean in the timezone utilised by the Dukascopy platform?
Yes.If I want to compare the data I output from Tickstory side by side to the data in my broker terminal I would set the timezone to the one my broker is operating on?
Yes. Dukascopy claim that their demo data is exactly the same as the live data.Is the tick data based on what was the live Dukascopy data?
Regards.