Extending session settings

For some reason, the exchange started a nightly continuous trading. 


The last night's trading hours and today's trading hours is a complete settlement day.  


And When some holidays, there will be no night continuous trading. Such as begining of  May and  October, and some day in January or February.


I want to use day high, day low, day close to filter in strategy, and find that daily bar is not correct.

Attachments
2019113I_DCE-D1-I_DCE.csv
(12.43 KiB)
DCEi HOT 1 Day MC.txt
(15.61 KiB)
2019113RB_MC-D1-RB_Session.csv
(11.47 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Feature
  • Status Fixed
  • Priority Normal

History

e
#1

eastpeace

03.11.2019 14:04

Task created

e
#2

eastpeace

03.11.2019 14:08

Attachment SHFErb HOT 1 Day MC.txt added

Attachment DCEi HOT 1 min18-19 MC.txt added

Attachment SHFErb HOT 1 min18-19 MC.txt added

Attachment RB_MC Session in MC.png added

Attachment DCE_I Session in MC.png added

Attachment rb_MC_session.png added

Attachment I_DCE_session1.png added

Attachment I_DCE_session2.png added

e
#3

eastpeace

20.11.2019 13:59
Voted for this task.
e
#4

eastpeace

20.11.2019 14:00

Attachment closed_yp-in-MC.7z added

Maybe we need custom indicators in SQ.


Here is the MC's el code for these functions. Would you please help me to do this?

TB
#5

Tomas Brynda

14.05.2020 08:07

Type changed from Bug to Feature

Hi Eastpeace,

currently we don't support this kind of sessions in SQ. Basically a session for one day should be in a single row in Edit session popup.


I think the easiest way is to export the history data from MultiCharts including the applied session and import it into SQ.

Then you can define a simple session times in DataManager (e.g. Mon 21:00 Tue 15:00 SEOC / Tue 21:00 Wed 15:00 SEOC) and it should work.


I will set this task as a feature, maybe we could extend the session configuration functionality in SQ later.


Let me know if you need more help.


Best regards,

Tomas

e
#6

eastpeace

14.05.2020 11:00

Hello, Tomas Brynda,


Thank you for your attention to this issue.



This demand is indeed a bit strange. Therefore, it is not too good to implement it in the session.


Can we try custom indicators?


And We need SQ to provide several attributes of symbols.  Get settings from session settings in SQ.


1. sessions numbers,  how many sessions the instrument have in a day.


2. sessionlastbar.   Indicates whether the current Bar is the last Bar before the end of the session.


3. sessXendtime.  sess1endtime, sess2endtime, etc...   The end of the one session.


TB
#7

Tomas Brynda

14.05.2020 13:51
Sure, custom indicators or blocks is a way to go.


I don't know how much experienced you are in programming, but if you need to get session details inside the custom indicator code, it should not be a problem.

In SQ we have a SessionManager class where you can get a data structure of every session.

TB
#8

Tomas Brynda

20.11.2020 10:29

Subject changed from TimeFrame transform with session is not accurate to Extending session settings

TB
#9

Tomas Brynda

04.03.2021 11:53

Status changed from New to Fixed


Votes: +1

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