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Warn user when building MultiTF strategies with different Timezone instruments

When building MultiTF strategies for futures, I import all my data using the timezone of the exchange for a given instrument by default. Some exchanges have different timezones. For example 6A and CL. You cannot load these two charts together in MC without moving both instruments to your local timezone. I don't know if this will cause different results than the strategy backtests but it may if the instruments were both looked at on different timezones without SQX accounting for this when learning from the data.



Since this is a problem in MultiCharts, there should be a warning that warns users of this ahead of time if this can affect strategy performance when in production.


Another potential idea: allow the user to see the charts that have data from different timezones and choose one chart to change the timezone for. Since this information is known ahead of time, you can route the user to the data manager with the chosen market already searched and selected. 

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  • Votes 0
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

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KL
#1

kainc301

19.08.2020 00:14

Task created

KL
#2

kainc301

19.08.2020 00:16

Attachment Screen Shot 2020-08-18 at 54344 PM.png added

Screen Shot 2020-08-18 at 54344 PM.png
Screen Shot 2020-08-18 at 54344 PM.png
(65.94 KiB)
This is the warning in MC I'm referring to when trying to use charts of different timezones.
KL
#3

kainc301

19.08.2020 01:00

Type changed from Bug to Feature

KL
#4

kainc301

19.08.2020 01:02
If anyone can, please let me know what timezone MultiCharts is referring to when it says "local" because my Datafeed is Rithmic in Chicago and I do not know if it is referring to that time as the local time
KL
#5

kainc301

25.08.2020 02:41
In this case, both NYMEX and COMEX have their instruments quote in US Eastern Timezone and CME has its instruments quote in US Central Timezone.


It would be helpful if there is a guide to use these two different timezones in MC. Because not only do the timezones need to match between the two or more instruments, but to get them to work in MC, the timezone in MC for both is set to local. So we would need to figure out what the local timezone that MC is referring to is (is it the connection to the data feed, locality of the computer, or just uses the system clock settings) and then use that to properly set the timezones of the data.


I have a concern that because these timezones are off by 1 hour, my strategies may have not had the bars line up at the same time in the training process which could potentially give a "look-ahead bias." It should be checked to see if the SQX engine accounts for this already or produces flawed strategies as a result of this timezone difference between datasets.

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