1989issue C101-8
Constructing currency-translated commodity OHLC bars
A commodity quoted in one currency can be restated in a second currency so both price paths remain available. A yen close can be a ratio or a product of the two closes, but that single field is not a bar. A field-wise product writes a translated bar that a cross-rate pane or a new open-high-low-close file can feed to ordinary studies.
- Currency translation can restate a commodity so local and foreign-currency paths are both available for the same market.
- Tools that accept one field at a time can plot a translated close, but they do not restore a full open-high-low-close picture.
- A translated bar is the field-wise product of matching commodity and currency fields, with each product divided by a factor of 100 when the yen contract is scaled.
- A cross-rate pane or a newly written open-high-low-close file lets studies attach to that series, and the same procedure copies to other commodities, currencies or cross-currency pairs.
Local and foreign-currency paths
A commodity quoted in one currency can be restated in a second currency so both local and foreign-currency price paths are available for the same market. Continuous palladium contract history at daily, weekly and monthly intervals in dollars was the base series used before any currency conversion.
Why a translated close is not a bar
A yen-denominated close can be formed either as a ratio of the two series after inverting the currency series or as the product of the two closes. Spread or ratio tools that accept only one field at a time can graph a translated close or another single field, but they do not restore a full open-high-low-close picture.
Field-wise product and scaling
A complete translated bar is built by multiplying each commodity field by the matching field of the currency series: open with open, high with high, low with low and close with close. When the yen contract is scaled, each of those four products is divided by a factor of 100 before the new open, high, low and close are written.
Cross-rate pane or a new file
Loading both files and drawing user-defined field products as separate lines can display a cross-rate or spread without first writing a new data file. A three-pane layout with each source market below and the spread or cross-rate on top lets studies attach to the translated series and update when the two inputs are reloaded. That stacked view is the cross-rate pane.
Writing the field-wise products to a new open-high-low-close file allows the translated series to be bar-charted and passed to the same indicators used on ordinary contracts. The same construction can be copied to other commodities, other currencies or cross-currency pairs so one procedure yields a reusable translated bar.
All readings on this track · 12 readings
- 1988Folding night auctions into daily OHLC bars
- 1989Constructing currency-translated commodity OHLC bars
- 1990Volume-width candlestick bar construction
- 1991Session-fitted bars and average-true-range risk bounds
- 1991Overnight versus session decomposition of futures bars
- 1994Constructing range overlap and bar-pattern filters from neighboring OHLC bars
- 1995Open-range stops after a fifty percent retracement
- 1997Lock the ohlc-bar before a flag or candle becomes a setup
- 2003Equal session OHLC bars for multiframe stochastic decisions
- 2003Continuous FX auctions, session-cuts, and gap proxies
- 2008Near-end-of-bar confirmation for discretionary entries
- 2018Constructing roller-and-strip charts from high-low-close pressure