How to deal with DST converting GMT+0 tick data to NY close | Forex Factory

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How to deal with DST converting GMT+0 tick data to NY close

  • #1
  • First Post: Apr 24, 2014 7:52pm Apr 24, 2014 7:52pm
Hi all,

I'm gonna to write a program to convert tick data in GMT+0 (download from Dukascopy) to candlestick OHLC data which is in NY close.

So in NY timezone the market opens at 0:00 GMT+2, that's simple that I can just adjust the tick data with 2 hours offset. But how about when it's in DST? Then the market opens at 0:00 GMT+3. Then all tick data that's within the DST period should be added with 3 hours? Then there is one hour hole in the data?

Can any explain on how to convert GMT+0 tick data to NY close candle?

Thanks
  • #2
  • Apr 25, 2014 12:30am Apr 25, 2014 12:30am
Quoting wqking
Hi all, I'm gonna to write a program to convert tick data in GMT+0 (download from Dukascopy) to candlestick OHLC data which is in NY close. So in NY timezone the market opens at 0:00 GMT+2, that's simple that I can just adjust the tick data with 2 hours offset. But how about when it's in DST? Then the market opens at 0:00 GMT+3. Then all tick data that's within the DST period should be added with 3 hours? Then there is one hour hole in the data? Can any explain on how to convert GMT+0 tick data to NY close candle? Thanks
that is wrong New York is behind GMT and by more than 2 hours go google
  • #3
  • Apr 25, 2014 12:35am Apr 25, 2014 12:35am
Quoting MaxDoom
{quote} that is wrong New York is behind GMT and by more than 2 hours go google
Not exactly.
NY time zone is GMT-5, but the NY session opens at maybe 7:00 or 8:00, so it's 0:00 at GMT+2.
But that's still quite confusing and I need someone explain it.

I've ever asked similar question on Reddit forex and got no useful answer.
  • #4
  • Apr 25, 2014 12:42am Apr 25, 2014 12:42am
Quoting wqking
{quote} Not exactly. NY time zone is GMT-5, but the NY session opens at maybe 7:00 or 8:00, so it's 0:00 at GMT+2. But that's still quite confusing and I need someone explain it. I've ever asked similar question on Reddit forex and got no useful answer.
you are confusing yourself here with session times.... in your post you said you wanted to convert it to NY close time....

but that makes no sense either, you have a feed of tick data that is in timezone A and you want to convert to NY time let says Timezone B, A is ahead of B by X hours that is how you adjust the time of the ticks.

once you have done the adjustment you can create whatever bars you like from it tick, minute, hour etc. based from NY time.
  • #5
  • Apr 25, 2014 1:09am Apr 25, 2014 1:09am
Quoting MaxDoom
{quote} you are confusing yourself here with session times.... in your post you said you wanted to convert it to NY close time.... but that makes no sense either, you have a feed of tick data that is in timezone A and you want to convert to NY time let says Timezone B, A is ahead of B by X hours that is how you adjust the time of the ticks. once you have done the adjustment you can create whatever bars you like from it tick, minute, hour etc. based from NY time.
Aha, I understand now. Thanks a lot!
Yeah I was confused.
The session "opening" time makes no sense and should not be considered when converting the data.

So to convert tick data in GMT+0 to NY close (GMT-5), I just need to subtract the tick data time with 5 hours. Right?

But, my most confused question is not got answered: how to deal with when DST happens (NY time zone becomes GMT-4 instead of -5) when generating bar data?
  • #6
  • Apr 25, 2014 1:18am Apr 25, 2014 1:18am
Quoting wqking
{quote} Aha, I understand now. Thanks a lot! Yeah I was confused. The session "opening" time makes no sense and should not be considered when converting the data. So to convert tick data in GMT+0 to NY close (GMT-5), I just need to subtract the tick data time with 5 hours. Right? But, my most confused question is not got answered: how to deal with when DST happens (NY time zone becomes GMT-4 instead of -5) when generating bar data?
just take 5 hours off the tick data.

UK time is currently 7:15 NY 2:15 = 5 hours although GMT difference is -4 at present. but DST takes care of this it is always 5 hours behind in NY.
  • #7
  • Apr 25, 2014 1:28am Apr 25, 2014 1:28am
Quoting MaxDoom
{quote} just take 5 hours off the tick data. UK time is currently 7:15 NY 2:15 = 5 hours although GMT difference is -4 at present. but DST takes care of this it is always 5 hours behind in NY.
Got it!!!
Yeah no matter DST or not, the opening and closing time of London and NY sessions are always fixed and not changed, so the time-off is always 5 hours.
Now my programming will be much easier because I felt quite headache on how to deal with the one hour "hole".

Thanks so much.
  • #8
  • Last Post: Apr 25, 2014 1:29am Apr 25, 2014 1:29am
Quoting wqking
{quote} Got it!!! Yeah no matter DST or not, the opening and closing time of London and NY sessions are always fixed and not changed, so the time-off is always 5 hours. Now my programming will be much easier because I felt quite headache on how to deal with the one hour "hole". Thanks so much.
you are welcome
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