Start/End of the Week

Optuma Desktop Feature Requests
1

Hi All,

This was originally posted on the “General Discussion” Forum but I consider it sufficiently important to be considered as a Feature Request:

When I open a weekly chart of various markets the weeks are date tagged showing the end of the week being of Friday and so presumably the week starts start on Monday. Seems perfectly logical, except not all markets do that:
US stocks and commodities in the first half of the 1900s traded on Saturday, so logically the week should end at the close of trading on Saturday and the Weekly Chart bars dated accordingly, but they show Friday’s date.
I have historical CSV files of US Stocks and commodities that also traded on Saturdays – their weekly charts in Optuma also shows the week ending on Friday, presumably adding the Saturday details into the following week, but that is not clear.
Australian futures contracts trade over night on Friday/Saturday morning, which begs the question – is that data treated as part of Friday or Monday for the purpose of the Weekly bar?
US futures contracts trade overnight Sunday/Monday morning, so presumably they are treated as all being in Monday.
Logically, when trading days continued into Saturday, as they did in the first half of the 20th century, it is logical for the week to end with the close of trading on Saturday and start with the opening of trading on Monday. To do otherwise could result in mis-leading weekly bars if a weekly high/low occurred on a Saturday. It could also impact monthly bars when the change of months occurs over the weekend.
Please clarify how Optuma treats historical Saturday trading and the current cut-off day for the week, in particular with regard to Australian futures contracts.
Is there a way to define the Start/End of the week (or month) for the historical data that traded on Saturdays?
As I "Feature Request", I would prefer at least one of the following options:
  • That generally the week commenced with the commencement of trading of the Monday Bar (this would require the SFE SPI 200 Index [AP] and related ASX/SFE futures contracts' Friday overnight trading to be included in Monday's bar as is applied by ASX/SFE), or
  • the First Day of the Week be definable by the user
Cheers

Trevor

2

Hi Trevor,

We already have support for Arabic data sources which trade on SMTWTh and have F&S as the weekend. To do that we have a concept of a searching a file for Fridays and Sundays, if Sundays are there and Fridays aren’t, we say it is Arabic.

We could look to modifying this to be more flexible and add support for Saturday data, but there is a caveat, Once we detect that at the start of the file, we can not switch back to Fridays in the more recent history, the weeks would always end on Saturdays.

No matter which way we go, this is not a trivial task as we have to update all the locations where weeks are used. Unless there is a lot of support for the change here, I can not see it getting high enough on the development schedule to get actioned.

All the best

Mathew