I have noticed that changing the session template of a chart of SP500 daily bars causes one day per week to be missing. It is also missing for a strategy that runs on ES 1 min data series and uses SP500 daily data as an added series, which is my problem.
I have attached a screen shot showing the Historical Data Manager and two charts. Here's the story:
I imported minute data for ^SP500 from 1983 to 16 Feb 2013.
I selected "Generate daily bars from imported tick or minute data".
The SP500 daily data in the historical data manager looks fine (with UTC timestamps, I think).
When I make a new chart of ^SP500, it uses the session template "Default 24/7" and all the daily bars are present. (See upper chart.)
When I make a new chart and select the session template "<Use instrument settings>", one day per week is missing. (See lower chart.) The bars that are present appear to be correct. After the end of the imported historical data (after 16 Feb 2013), the daily bars are all present.
The session template set in the Instrument Manager for SP500 is "US Equities RTH".
Does the generation of daily bars from minute data depend on the session template? If so, what should it be set to?
How do I make sure the strategy sees all the SP500 daily bars?
Cheers
Tony
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