How ProOrder treats Sunday trading data in live algos

• 10/26/2019 at 1:13 PM #111269
  Wilko

  I want to call yesterday’s hourly ATR for IG’s EURUSD contract during European futures opening hours. My trading platform is set to CET, Central European Time. If I do this in backtest I can use the following code snippet to store the average true range in the variable ATR:

  TIMEFRAME(Hourly) IF TIME = 220000 THEN ATR = AverageTrueRange[14](close) ENDIF

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  TIMEFRAME(Hourly)   IF TIME = 220000 THEN ATR = AverageTrueRange[14](close) ENDIF

   

  I can then call ATR during the following day.

  Backtest will treat Sunday data as Monday. However, I am uncertain how Sunday data is treated in live algos. Will the IF-clause run on DayOfWeek=1 give me Sunday data or will it give me Friday’s data?

   

  Thanks for any help answering this question.

   

   

  

  Wilko

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  10/26/2019 at 1:41 PM #111271
  Vonasi

  Wilko – Please use the ‘Insert PRT Code’ button when posting code. I tidied up for you. 🙂

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  Wilko

  

  Vonasi

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  10/26/2019 at 1:46 PM #111272
  Vonasi

  Any time the code is run on a candle with a closing time of 2200 it will store the ATR based on that candle and the previous 13. If there is a Sunday 2200 candle then it will change the value. If you want to avoid those candles then just do this:

  TIMEFRAME(Hourly) IF TIME = 220000 and opendayofweek <> 0 THEN ATR = AverageTrueRange[14](close) ENDIF

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  TIMEFRAME(Hourly) IF TIME = 220000 and opendayofweek <> 0 THEN ATR = AverageTrueRange[14](close) ENDIF

   

  

  Vonasi

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  10/28/2019 at 10:55 AM #111401
  Wilko

  Thanks @Vonasi for you tidying of my original post and for your suggestion! That effectively eradicates this problem (which is “invisible” in backtests).

   

  /F

  

  Wilko

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