Beginning with FutureSource Workstation 3.40, users formulas and expressions will chart Open, High, Low, and Close values allowing Bar and Candlestick Plot types to be used. Prior to FutureSource Workstation 3.40, only Close values were charted for expressions, hence only Line plots were available.
Daily Chart of expression =('CL H2'+'CL J2'+'CL K2') / 3
30 min. Intraday Chart of expression =('CL H2'+'CL J2'+'CL K2') / 3
Open, High, Low, and Close of each bar is calculated as follows:
Open - Results of the expression using the Open value of the bar of each symbol within the expression
High - The expression is calculated using the High of the bar of each symbol within the expression. However, the bar drawn uses the highest value of the calculated Open, High, Low, or Close.
Low - The expression is calculated using the Low of the bar of each symbol within the expression. However, the bar drawn uses the lowest value of the calculated Open, High, Low, or Close.
Close - Results of the expression using the Close value of the bar of each symbol within the expression.
All Intraday Chart Expression Bars are built from calculated 1 min bar data aggregated to larger time frames.
When a symbol within the expression does not have a bar for a Date (daily) or Time (1 min) but the other contract in the expression does have a bar for that Date or Time, the last available Close value from the contract without a bar is used for all the Open, High, Low, & Close calculations.
For example, ='CL K1'/'EUR A0-FX' , Daily chart: CL K1 does not have a bar for 2/21/2011 (holiday), however EUR A0-FX does have a bar on 2/21/2011. Hence the calculations for 2/21/2011 use the CLOSE value from 2/18/2011 for CL K1. Only CLOSE from 2/18 is used for 2/21 calculations; Open, High, & Low from 2/18 for CL K1 are not used for 2/21.
When one symbol has more history than the others in the expression, the expression begins at the symbol with the least amount of history. For example, if CL Z1 history began on 12/1/2005 but CL K4 began at 3/1/2010, the expression bars for ='CL Z1' + 'CL K4' will begin on 3/1/2010.