Hi

I'm trying to understand the value to use in the iInterval field of a ReqHistoryIntervalTimeframe with iIntervalType =s
bstrSymbol = @ES#

I'm also using bstrBeginDateTime = 20150713 000000 (I've also tried 20150713 093000) and
bstrBeginFilterTime = 093000 and bstrEndFilterTime = 161500

When I use 60, I get back minute bars as expected.
When I use 1800 (30min) it works as expected,
However when I go to 3600 (1hr) I only get back bars ending with 11:00, 12:00, etc.
And when I use 24300 (the entire RTH session from 0930 to 1615) I get back a bar ending at 20:15:00, and I'm not sure where it's getting the HLOC from.

Hello,

All of our intra-day bars are built from midnight, with a remained bar sent for the final bar of the day, if needed. So your 60 minute request generates the 11:00, 12:00, etc. bars you are seeing, and then your filter causes you to only see a subset of that data. To get intervals on the half hour, you would need to pull in 30 minute bars and build your 60 minute bars on the client end.

Tim

OK, that fits with what I'm seeing.
Thanks.


Guess that means I can't get 1 bar that covers the RTH session, eh?

And since the session starts at the bottom of the hour, anything over 30mins we have to roll up from smaller bars?

Correct. I would recommend just using 1 minute bars if you have variable needs, that way the same function can work for any minute interval and the filtering mechanism will make the most sense that way as well.

Tim

Thanks Tim.