Kase bar resolution
Posted: Nov 26 2019
Hello,
I need some understanding on how Kase bars are built when based on a resolution different then 1 tick, let's say for instance Kase bars of 30 points range / 400 ticks on CFD LMAX Germany30.
I run several realtime tests to compare backtest and actual execution with automated MKT orders (on close, IOG off), and the whole thing does not make much sense. I get "random" discrepencies of several points and time lag up to 2mn (difference in timestamps), way beyond usual slippage due to spread and order sending.
I also tried to build my own Kase bar indicator to better understand / verify their construction, but failed to replicate exact MC bars in this situation.
Questions (In the situation where resolution > 1 tick):
1/ Is the kase bar close price supposed to match realtime price ? If not, why exactly ?
2/ I noticed some bars having a lower range than the range setting. Why do they exist ?
3/ I noticed that bar close do not necesserally match the high or the low, but could be anywhere within the bar range. Is it expected for a Kase bar ?
4/ Is it expected that when changing the starting date of such chart, bars are rebuilt differently ?
Basically I need to evaluate the accuracy of a backtest based on such bars construction (with resolution > 1 tick),.
Thanks for your help !
I need some understanding on how Kase bars are built when based on a resolution different then 1 tick, let's say for instance Kase bars of 30 points range / 400 ticks on CFD LMAX Germany30.
I run several realtime tests to compare backtest and actual execution with automated MKT orders (on close, IOG off), and the whole thing does not make much sense. I get "random" discrepencies of several points and time lag up to 2mn (difference in timestamps), way beyond usual slippage due to spread and order sending.
I also tried to build my own Kase bar indicator to better understand / verify their construction, but failed to replicate exact MC bars in this situation.
Questions (In the situation where resolution > 1 tick):
1/ Is the kase bar close price supposed to match realtime price ? If not, why exactly ?
2/ I noticed some bars having a lower range than the range setting. Why do they exist ?
3/ I noticed that bar close do not necesserally match the high or the low, but could be anywhere within the bar range. Is it expected for a Kase bar ?
4/ Is it expected that when changing the starting date of such chart, bars are rebuilt differently ?
Basically I need to evaluate the accuracy of a backtest based on such bars construction (with resolution > 1 tick),.
Thanks for your help !