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));

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