Hello.
I want to find out an one thing. If I want to execute my algorithm on the daily bars (daily trading system) I should use a consolidator to create the daily bars from the minute data? Or can I simply use for daily resolution:
AddSecurity(SecurityType.Forex, symbol, Resolution.Daily);
Alexandre Catarino
It depends on how you want your orders be filled. For instance, if your algorithm places limit and/or stop orders that will be filled during the day, you need to choose minute bars. Otherwise, you can choose daily data.
Akira Maki
Alexandre, thank you, So if I use the limit orders I don't need the consolidators. Am I right?
Alexandre Catarino
It depends on the limit orders.
For example, say we buy an asset at market for $100 and have submitted a limit order of $105 and a stop order of $98. The next day, the price goes up to $110, but closes at $95. In this case, the stop order will be filled at $95, despite the fact we should closed the position at $105. On the order hand, if you limit and stop orders are distant from the market price (limit order of $120, stop order of $95), it should OK to use daily data, because we do not expect a 25% bounce in one single day.
Akira Maki
Thanks!
Petter Hansson
Unless you have very strong performance reasons to go with daily source data, I recommend going with minute source data and manually producing daily bars (e.g. with consolidators). This is simply because you will be less surprised this way down the line; minute data exposes subtleties.
Akira Maki
Thanks @Petter and @Alexandre
Akira Maki
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