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I think its problem about TS's data feed.
I will change it to more reliable one...
When I try 1440min bar just I found a more data error of TS...and other problems...shock me...
It miss the bar of 7/4(In my time zone the close time of Fri. is 7/4)
2020-07-10 094749
Can you help answer these questions from other members on NexusFi?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
Last Friday, the 3rd of July was a US Holiday. The Holiday is the 4th of July but since that was a Saturday it's celebrated on the Friday.
I don't know what product you trade, but talking about Crude "CL"
NORMALLY
Thu 2nd. 1:28-1:30 Settlement Window.
Thu 2nd. 4pm Last Trade. Start of Maintenance Window.
Thu 2nd. 5pm Reopen. Start of Trading for Fri 3rd.
Fri 3rd. 1:28-1:30 Settlement Window.
Fri 3rd. 4pm Last Trade. Start of Maintenance Window until Sunday.
Sun 5th. 5pm Reopen. Start of Trading for Mon 6th.
LAST WEEK, JULY 4th WEEKEND
Thu 2nd. 1:28-1:30 Settlement Window.
Thu 2nd. 4pm Last Trade. Start of Maintenance Window.
Thu 2nd. 5pm Reopen. Trades done after this point count as trades for Monday 6th since there is no Friday 3rd trade day.
Fri 3rd. 12pm Last Trade. Market Halt until Sunday. No Settlement Window.
Sun 5th. 5pm Reopen. Continuation of Trading for Mon 6th.
So the problem becomes Friday 3rd was officially not a trading day, hence has no high, low, open or close, BUT there was actually trading activity for 19 hours. So theoretically Monday 6th was a 42 hour trading day instead of the normal 23 but the software struggles to handle that. You can understand the underlying reasons why the software struggles with this, but given that this is a billion dollar industry you think they would have worked out how to handle it!
Years ago the market closed on Thursday and didn't reopen to Sunday night. But with the global nature of markets and the shift from exchanges being member/local focused to shareholder/revenue focused this is no longer the case.
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207
Sure you don't want me to post charts of them all but just downloaded 20 years of @CL data and there's 16 obvious data errors all in 2001-2003. Must but not all are associated with US Holidays.
