It seems I'm becoming a regular feature on here. Can I ask if the Exclude Weekends option in the market analyser works? I have tried an ATR(100) with it switched on and switched off and I was getting the same values, so I added the following logic to the ATR to see if weekend day bars are coming in to the onbar update and sure enough even when I have exclude weekends set to True I'm getting bars in the OnBarUpdate event that are timestamped with Saturday and Sunday, I assumed these would be prefiltered by the MA if this was switched on? Perhaps my understanding is off here.
protected override void OnBarUpdate()
{
if(Time[0].DayOfWeek == DayOfWeek.Saturday)
return;
if(Time[0].DayOfWeek == DayOfWeek.Sunday)
return;
}
For info I'm trying to replicate Gain daily bars by using a 1440 minute timeseries in the MA although i don't see how this should effect the exclude weekends but i thought I'll pass the info in case somehow it's related.
Cheers
Ross
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