amibroker

Some platforms, like Tradestation, use “future looking” timestamps in their data so for example 5 minute bar covering market activity from 9:30:00 till 9:34:59 is stamped with 9:35:00 (future time – see Tradestation manual explaining their timestamps) so their data have a kind of future offset.

AmiBroker, on the other hand, uses and expects natural timestamping, in which data from 9:30 are marked with 9:30 timestamp, so data from 9:30:00 until 9.34:59 belong to 9:30 5-minute bar.

If you want to use future-timestamped data in AmiBroker you need to remove the offset.

To do so, you need to shift the timestamps back by the amount equal to the base data interval during import process. In case of 5-minute bars, you need to shift data by -5 minutes.

To shift the data during import you can use $TIMESHIFT command of ASCII importer, see http://www.amibroker.com/guide/d_ascii.html

$TIMESHIFT offset_in_hours

the offset_in_hours parameter defines the time in hours that should be added to imported timestamps. You can use negative and fractional values too. Each minute is 1/60 of hour so shifting back by 1-minute would be -0.01666667.

If you are using ASCII Importer Wizard, and want to import 5-minute data with future looking timestamps, you can simply type the following in the “Additional commands” box of ASCII Importer Wizard.

$TIMESHIFT -0.08333333333333

-0.08333333 is a result of dividing 5 by 60 (number of minutes in an hour)

Please find out what time-stamping method is used by your data provider because it is important to know that to get your higher-interval charts right.

Filed by Tomasz Janeczko at 3:36 am under Data
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