How to get the values of the trading hours sessions as defined in Intraday Settings? PER-GROUP intraday settings

AFL Programming
1

AB0015

How can I get the information from the AFL?
Day session (RTH) , Night session (ETH) the "Start" , "End" value

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Just wanted to share my opinion on this. This feature is only "Friendly and functional" if all your symbol data is homogeneous. Meaning that the database instrument symbols are very similar, i.e., have same exchange time zone, so that intra-day data is "Likely" to share the same trading sessions. For example, NYSE,AMEX,NASDAQ etc.

Unfortunately if you have let's say an intra-day/tick futures/commodities Database with instruments traded on exchanges trading in different time zones and dataset is in exchange time that is one issue. Another is that even if they are in the same time zone, instruments in that time zone can have different trading sessions defined.

Due to this, I wish trading sessions can be defined on a symbol basis. I would also add, it would be nice if we can add an extra session defined like "user active", so for example you could define S&P 500 futures from 5 am to 6pm or what ever suites the user. Maybe even Sun evening start and day bar aggregation start times and stop times. Of course all set-able by OLE or other scripts.

Just another reason for extra symbol information fields IMHO.

-S

3

@Sean, did you try using PER-GROUP intraday settings?

A quote from https://www.amibroker.com/guide/w_dbsettings.html:

Note that Intraday Settings available from Database Settings dialog are PER-DATABASE . There is however also an option to define PER-GROUP intraday settings. To use PER-GROUP intraday settings you have to open Symbol->Categories window, switch to Groups tab and check "Group uses own intraday settings" box as shown in the picture below:

obraz

Then you can click on Intraday Settings button to display per-group settings. Please note that each group in the category list can have its own individual settings so you can easily setup groups so they contain instruments traded in different hours. You can move symbols between groups using Symbol->Organize assignments dialog.

4 Likes
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Excellent, that one got past me apparently. :thinking:

Thanks Milosz !

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@Milosz apparently eats, sleeps and drinks AB :smiley: :clap:

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Thanks @travick. I'm doing my best, but comparing to some other users, I'm still an "apprentice" here :slight_smile:

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@Milosz You need to eat food too. :stuck_out_tongue:

So the group setting is just ok IMHO. Only because you are restricted to one symbol to one group assignment. The reason I say this is that typically (what seems to be the most popular) the Group is organized by Exchange CME, NYSE, NYMEX etc.

While I can't check them all, it is possible that instruments on an exchange might have different trading sessions. Also the issue is if we were to setup groups solely on trading sessions...
Session1 start, session1 end,
Session2 start, session2 end
Sunday evening start?
Timezone
GMT offset
Daylight savings?
it might look like an untidy mess.

Just seems like the details would be better off as a symbol info field, IMHO This would also allow the value to be set in code as well.

FYI, Same with stuff like...
RootSymbol
Exchange
Expiration codes
Minimum tick increment (Can differ from minimum quoted price)
Minimum Tick Value
-S