Bars / holidays / taxonomy

I decided to run Macro’s screen from March 28 again today (April 7) and am having trouble interpreting what shows up. The prices for industry taxonomy for closes 1 and 2 days back are nearly identical (and are actually identical if NVDA is used instead of IBM). The price for IBM itself shows up as N/A two days back.

Marco’s screen:
https://www.portfolio123.com/mvnforum/viewthread_thread,13270_offset,23

ticker("ibm")
showvar( @0,Close(0,#industry))
showvar( @1,Close(1,#industry))
showvar( @2,Close(2,#industry))
showvar( @S0,Close(0))
showvar( @S1,Close(1))
showvar( @S2,Close(2))

Run using the “as of” date 2/22/2022 (there was a holiday on 2/21/2022).

I’d appreciate help trying to figure out how to interpret these results, especially regarding what has been rolled back and what hasn’t. Much appreciated if someone can help!


Hello, Thank you for reporting this. We’re still working to get this right. Sorry it’s taking so long.

Production servers right now do not include holidays in the stock prices so that TA functions are not affected. That’s why for IBM you do not see any values copied forward for the holiday.

But for taxonomy series we decided to do regional series, so there will only be one series for an Industry in North America. Because of this taxonomy series include holidays and you should see a value copied forward only when all countries in the region have a holiday. Additionally taxonomy series use the prevalent currency for the region to normalize daily returns .

So based on the above conditions what I originally stated “You will see a duplicate value (carried forward) for the industry close price” is no longer correct. It would only happen when both CAN & USA have a holiday. But due to a bug with fx, this is not the case.

We’re working to fix everything as well as introduce new functions that can be used with holidays.

Again, sorry for the confusion and changes. I think another week before it’s all settled.

Thank you for the update!

Does this mean that as of today, series like #SP500 use bars and will no longer include holidays?

(Examples of where this might matter include calculations of alpha, in which the stock and index both have to go back to the same date, and PctDev, where duplicate values might noticeably change the result for volatile series.)