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Old 01-23-2010, 09:45 PM   #1
David Lean
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Unhappy BUG: PriorDayOHLC, doesn't work on Mondays.

Summary
The PriorDayOHLC values are always zero on a monday. This is because it is using Sundays data for its calculation & there is no data.
NB: It may be possible that this indicator works correctly in USA for USA markets as they have no data on Saturday. If so, test this by setting your system clock to a different timemzone. (try really east like Australia or New Zealand)

Detail
There is an implicit assumption in many of Ninja indicators that the market is open 7 * 24 hrs. I've noticed that this creates many bugs where :-
i) the market closes over the weekend. or
ii) the market closes for more than 15 mins. ie Euro Stoxx or
iii) the market Opens & Closes on different calendar dates. (very common when your local timezone is not USA.

In this case PriorDayOHLC is looking at Calendar Days not Trading days. (Actually it is looking at the undocumented "CurrrentDate" but the effect is the same.)

As Friday's EuroStoxx session closes at Sat 8:15am (AEDT) & Opens Monday 6pm (AEDT). This causes the PriorDayOHLC prices to all become PriorClose.
Making this indicator useless on a Monday & very dangerous to use in any of your own indicators.

Workaround
I keep a IntSeries called SessionCount which starts at 1, it holds the same value for all candles until Bars.FirstBarOfSession = true. When I increment the SessionCount by one.

This lets me use the index of any two bars to see if they are also in the same trading session. It also avoids counting non-trading days like Public Holidays & weekends.

I hope this helps
Dave
Last edited by David Lean; 01-23-2010 at 09:51 PM.
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Old 01-24-2010, 11:57 AM   #2
NinjaTrader_Ben
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Hello,

I will send your suggestion to our development team for consideration, thanks!
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Old 01-25-2010, 05:25 AM   #3
Mindset
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Default Prior OHLC

David

I see where you are coming from but my experience on the Dax/EuroStoxx futures is that it works fine on a Monday?(In 7beta6)
Maybe they fixed it?
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