I'm sure this is not an isolated problem that only I have, so hopefully this will be of use to many.
I have 1 minute fx data spanning back many years. The issue I have is that i want to represent my daily bars for testing in london time.
Typically you can just set the session template times for the appropriate timezone, however there's an issue:
london has daylight savings time some parts of the year, where you would need to offset the bar data by 1 hour.
Also, the data imported was from CQG (time reference Chicago time). The complication is then and different times of the year you need to offset one hour for the chicago daylight savings time also.
The result is at different dates in the year, my data needs to be shifted by 0, 1 or 2 hours.
From previous correspondance, the strategy backtest can be assigned the session template, so the daily bars constructed have the correct start/end time.
How do you set it up to accomidate the above (different times of the year have offset start/end times).
Note that the changes/shift in timezone occur over the weekend where FX is closed, so there is no issue of data overlap or an hour of data missing etc.
thanks
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