Intraday / Multi-Time Frame | Mixing intraday and daily data

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This article illustrates various design patterns helpful when it comes to mixing of different time scale data in Wealth-Lab 6 - like intraday and daily.

Combining exits using yesterday's and today's prices

Here's code of a system that...

Buys at 10:30 when today's open is higher than yesterday's close and price at 10:30 is higher than opening price
Sells at close for the day
Would like to place a stop at yesterday's close

Code


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			double Stop = 0;

			// Check for intraday data
			if ( Bars.IsIntraday )
			{
				// Get daily bars
				SetScaleDaily();
				Bars daily = Bars;
				RestoreScale();
				daily = Synchronize( daily );
				PlotSeries( PricePane, daily.Close, Color.Black, LineStyle.Dashed, 1 );

				for(int bar = 20; bar < Bars.Count; bar++)
				{
					if( IsLastPositionActive )
					{
						if ( Bars.IsLastBarOfDay( bar ) )
							SellAtClose( bar, LastPosition, "At Close" ); else
							SellAtStop( bar+1, LastPosition, Stop, "Stop" );
					} else
					{
						//if (Date[bar].Hour == 10) 
						if ( Bars.IntradayBarNumber(bar) == 0 ) 
							if (Open[bar] > daily.Close[bar-1]) 
								if (Close[bar] > Open[bar]) 
									if( BuyAtClose(bar) != null )
										Stop = daily.Close[bar-1];
					}
				}
			} else
				DrawLabel( PricePane, "For use on intraday data", Color.Red );
		}
	}
}

Updating a Daily indicator using Intraday values

Here's how you can update a Daily indicator, say a moving average, recalculating its current value throughout the day using intraday values. This is also valid for backtesting and trading. Run it on intraday data:

Code


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
    public class SMADailyOnIntradayBasis : WealthScript
    {        
        StrategyParameter _period;

        public SMADailyOnIntradayBasis()
        {
            _period = CreateParameter("Period", 20, 1, 100, 1);
        }            
        
        public int FirstBarofDay(int startDay)
        {
            int cnt = 0;
            int firstBar = Bars.Count;
            for (int bar = 0; bar < Bars.Count; bar++)
            {
                if( Bars.IntradayBarNumber(bar) == 0 ) cnt++;
                if( cnt == startDay )
                {
                    firstBar = bar;
                    break;
                }
            }
            return firstBar;
        }
        
        protected override void Execute()
        {                
            SetScaleDaily(); 
            DataSeries dailyCloses = Close;
            RestoreScale();
            dailyCloses = Synchronize(dailyCloses);
            
            double daySum = 0d;
            int db = 0;
            bool isInitialized = false;
            int per = _period.ValueInt;        // number of days for moving average
                        
            // the "instantaneous" sma is the sum + Close of the current bar / period
            DataSeries sma = new DataSeries(Bars, "Daily SMA on Intraday Basis");
            
            for (int bar = FirstBarofDay(per); bar < Bars.Count; bar++)
            {                            
                // On the first bar of the day, sum the previous per - 1 *day values*
                if( Bars.IntradayBarNumber(bar) == 0 )
                {
                    daySum = 0d;
                    int stBar = bar - Bars.IntradayBarNumber(bar);    // first bar of current day
                    for (int n = 1; n < per; n++)
                    {
                        stBar--;    // last intraday bar of a previous 
                        daySum += dailyCloses[stBar];
                        stBar -= Bars.IntradayBarNumber(stBar);        // back to first bar of stBar day
                    }
                }
                // Calculate the average for the contribution of the close of this bar
                sma[bar] = ( daySum + Close[bar] ) / per;                
            }
            PlotSeries(PricePane, sma, Color.Blue, LineStyle.Solid, 2);
            
            
            // Compare it to the pure Daily SMA
            SetScaleDaily(); 
            DataSeries smaDay = SMA.Series(Close, per);
            RestoreScale();
            smaDay = Synchronize(smaDay);
            PlotSeries(PricePane, smaDay, Color.Black, LineStyle.Solid, 1);
        }
    }
}

Selling a position at close at after the 2nd market day after purchasing

Code

Note: Change the MarketClose constant value for half days.


public class MyStrategy : WealthScript
{
	public int GetTime(int bar)
	{
		return Date[bar].Hour * 100 + Date[bar].Minute;
	}
	
	protected override void Execute()
	{				
		const int MarketClose = 1600;
		
		for(int bar = 20; bar < Bars.Count; bar++)
		{
			if (IsLastPositionActive)
			{
				Position p = LastPosition;
				if( bar < Bars.Count - 1 )
				{
					if ( Bars.IsLastBarOfDay( bar+1 ) )
						SellAtMarket( bar+1, p, "Mkt On Close" );
					else 
						SellAtStop( bar+1, p, p.EntryPrice * 0.97, "At stop" );
				}  
					// Is last bar of chart the second to the last bar of the day?
				else if (GetTime(bar) == MarketClose - Bars.BarInterval) 
					SellAtMarket( bar+1, p, "Mkt On Close" );
			}
			else
			{
				// Entry logic
			}
		}
	}
}