Irregular Trading Hours Data?? You’ve probably heard about Regular Trading Hours Data? But, what about data with ‘Irregular Trading Hour’ patterns? Say if you wanted daily bars where the OHLC data points are somewhere not usual — away from the crowd mentality — what then? How can you optimise your trading edge in a more exotic timeframe?
Listen to Arthur Maddock chat about the relevance of Irregular Trading Hours Data; this exciting new way to create intraday and daily bars for backtesting. Discover edges between the sessions where no one else tends to look…
Overnight Daily Bars
Several funds have approached Portara about the ability to create daily bars (from intraday data, of course) that span across an overnight session. Think about it! Imagine — as one random example — the Canadian Dollar… if you could create OHLC Daily Bar data that began at 2200h Monday evening Chicago and completed 0600h Tuesday morning, i.e. the following day? Imagine now that you run off this OVERNIGHT DAILY DATA back to market inception, or as far as bars were available. Then envisage knitting the contracts together into a backadjusted continuous stream for testing. What edges would you find in there? What benefits could your quant team discover with this type of flexibility?
Portara has this functionality built into its modelling as standard. You have to wonder why hedge funds are asking Portara for this stuff?
Overnight Intraday Bars
In the same manner as described above, Portara allows you to create overnight intraday bars as well. Whether its 1 minute, 5 minute or 60 minute bars you are working with you can create DYNAMIC SESSION-BASED DATA across the midnight back through history, regardless of what the characteristics of the data displayed in the past. Whether you work with exchange-based timestamps or locally-based timestamps, Portara provides the flexibility to give you exactly what you want.