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Create Regular Trading Hours Data (RTH)

Create Regular Trading Hours Data (RTH)

Create Regular Trading Hours Data

Create Regular Trading Hours Data (RTH) Data with Portara.  Using an intraday data base you are able to set your open, high, low and close points anywhere you want in the trading day.  By setting dynamically, open and close of session at whatever times suit (even across midnight) you can produce RTH data or even Irregular Trading Hours Data however you want.  The choices are limitless!  A major difficulty for traders and researchers is the ability to create ASCII txt CSV data back through history that is based on an RTH signature.  This type of data solution is not available outside of custom quant and IT professionals who have spent considerable time and effort in producing the data.  Portara takes all that pain away and allows you to be in complete control and allowing you to create continuous and actual data from 1987 forward on 1 min bar and above.

Dynamic Session Regular Trading Hours (RTH) Data

Dynamically set session times so that you are able to append only the trading time period that you are interested in to the back-adjusted stream. In this way you are able to produce compressed back-adjusted streams which can mimic the pit session times even in the new 24h electronic contracts.

You can create any session times you desire for the compressions you need and can create daily bars de-constituted to their regular trading hour periods.

You can also set sessions across the midnight bar e.g. 21:00h-04:00h to test for edges in the night session data only.

Sometimes the exchange has changed the opening times in historic times. You can use Multi-sessions to follow the opening and closing hours through the history of the contract.

Of course, you may create session opening and closing times wherever you need them on intraday or daily data.

It is easy to cut out the illiquid evening and night sessions for data that matches exactly your requirements.  Here is a video on the subject.

  • How to Create Regular Trading Hours Data RTH Data


Create RTH Data


Complete flexibility for testing. Find new edges!