MM script: getting Daily prices of index from Intraday Interval

MM script: getting Daily prices of index from Intraday Interval

Vangelis M.
2013-08-11 19:35:48

I am working on an intraday MM strategy (1 minute interval).
From the MM script I need to check Daily prices of an Index that has only Daily prices.

The idea is that if the index today opens above the index yesterday, then buy at minutes 3, 6 9, etc...). Is that possible?
I tried data.GetPriceSeries("myIndex","close") to no avail.

Thank you,
V.

QuantShare
2013-08-12 12:27:55

Best Answer

You should use the "ParseFormula" function to get daily prices from an intraday strategy:

TimeSeries result = Data.ParseFormula("a = TimeframeGetSeries1('myIndex', -1, close, LastData);").GetTimeSeries("myIndex", "a");

Vangelis M.
2013-08-12 20:50:42

Thank you. That works, but I can only get yesterday's close on the index. Is it possible to get today's close?
Assume we trade at the close of US session, while the index closes with the European session. So by the end of the US session the index has "closed". Can I get that value?

Thanks

QuantShare
2013-08-13 11:18:25

You can use this QS formula to reference past and future bars:

a = timeframedecompress(ref(Timeframecompress(TimeframeGetSeries(-1, close, LastData)), -1));

Vangelis M.
2013-08-16 02:12:06

Works. Thank you. This is what I ended up using:

yesterdayDailyClose = TimeframeGetSeries1('MyDailyIndex', -1, close, LastData,0);
TodayDailyClose = timeframedecompress(ref(Timeframecompress( yest ), -1));

Get more messages

No more messages

Back


Trading Items Intraday Trading System with Daily Ranking Combination Element from Lexicographical Index How far are the close prices from the support line Accumulation Swing Index Intraday Data for Major Stock Exchanges	How-to Lessons How to screen for stocks having a high correlation with the Dow J... How to hide a trading indicator from a particular time frame How to generate buy/sell signals from a trading system How to get trading orders from a portfolio programmatically How to add trades from one portfolio to another one
Related Forum Threads Creat a Composite Index from few stock symbol Script to remove Symbols from an Index Historical intraday data for the AEX index Access intraday data while working on daily chart Daily Beta Intraday	Blog Posts 4 Links to Download Free Historical Stock Prices Data by Date Diversify your portfolio by investing in stocks from various indu... 4 different weighted index calculation methods How to Backtest an Intraday Stock Trading System with EOD Ranking Backtesting trading strategies using intraday data