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Forums>StrategyQuant>General Discussion>Data and time shifting

  • #267780 |
    Customer
    6 Posts

    Hello everybody,

    Yet another thread about time shifting of historical data, but I would like to ask the question once for all before complaining because my strategies don’t have same results between backtest and real data etc.
    I have downloaded USDJPY (or any other pair) data from Dukascopy within SQX, so I have data for timezone UTC.

    When I check data with tool “View & Analyze”, I can see that the data start at 00:00.


    I have shifted the pair to UTC+2 so when I check again, the data start as expected at 02:00.

    Why I am asking is because I feel lost between all those times.
    I’m UE citizen and I use both CET and CEST timezone, but my broker time seems to have +1, so UTC+2 during winter, to UTC+3 during summer. At the end, I always have -1h from my broker.
    My question is: do I have to shift the data to avoid Sunday candle etc. And if yes, how many hours do I need to shift?

    Thank you for your help.

    #267798
    tomas262
    Administrator
    1823 Posts

    Hello,

    yes, you need to clone data to the Eastern EU timezone likely which is UTC +2/+3 so on 2003.08.04 you will have 3 hours difference from the UTC time

    #267806
    Customer
    790 Posts

    i rather using EST07 timezone, which is UTC2 with US DST, not EU DST – because the brokers are using US DST

    You want to be a profitable algotrader? We started using StrateQuant software in early 2016. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM. 1500+ final SQX strategies for members running on demo accounts to verify the edge DEMO ACCS. We provide also strategies for indices - DAX, DOW JONES, NASDAQ, SP, UK, because we have realtick data from our brokers.

    #267844
    Customer
    6 Posts

    Regarding for instance Roboforex:

    As the Forex market employs a lot of countries from different time zones, Forex is considered to work according to universal time. At present instead of GMT standard, which is rendered obsolete, it’s widely accepted to use UTC – Coordinated Universal Time. RoboForex server time differs from UTC by 2 hours (UTC +2), and in summer, with a switch to daylight-saving time, the difference equals to UTC +3.

    Schedule of forex trading hours.. The time zone is UTC+2 (Eastern European Time, EET)

    So from March to October they use UTC+3 and UTC+2 for the rest of the year.

    Does it have an impact in SQX?
    If the data started in August, I would clone to UTC+3, so on Monday 2003/08/04 it will start at 03:00am, but how SQX will handle the daylight-saving time?

    #267863
    tomas262
    Administrator
    1823 Posts

    Hi,

    SQX will set UTC + 3 on 2003/08/04 then according to zone (and DST) set the timestamp will be shifted in October. If RBFX uses US DST then it is better to choose EST07 as mentioned.

    Even if you choose UTC+2/+3 (EU) the impact on a strategy should not be that significant in most cases since the difference between countries is usually few days

    #267868
    Customer
    790 Posts

    https://en.wikipedia.org/wiki/Daylight_saving_time_by_country

    difference is only few weeks – between EU DST vs US DST – so the difference should be minimal, but its better to use the most accurate data setting you can

    You want to be a profitable algotrader? We started using StrateQuant software in early 2016. For now we have a very big knowhow for building EAs for every possible types of markets. We share this knowhow, apps, tools and also all final strategies with real traders. If you want to join us, fill in the FORM. 1500+ final SQX strategies for members running on demo accounts to verify the edge DEMO ACCS. We provide also strategies for indices - DAX, DOW JONES, NASDAQ, SP, UK, because we have realtick data from our brokers.

    #267869
    Customer
    6 Posts

    Ok thank you both for your explanation. It’s crystal clear now.

    #267873
    Customer
    6 Posts

    Just as a note for me and maybe other users looking for a similar answer:

    They are two options at the begin of the dropdown menu when selecting new timezone, I was missing them when scrolling straight to UTC+2.

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