Last Bar of Session

makra081 · 03-09-2009, 05:40 AM

Hello Ninja Team,

I am looking for a way to check within a strategy if we are at the last Bar of the session.

This should avoid the execution of an entry signal during the first bar of next days session (e.g. 7:00) which was created on the last bar of a session (19:00) - but not executed because of onBarClose.

The session parameters(chart) are set to session from 7:00 to 19:00.

I searched the forum for answers without success.
Any Ideas ?

TY

makra081 · 03-09-2009, 06:04 AM

I tried Bars.BarsSinceSession !=0 .

This does not work, because the execution in the morning (e.g. 7:00) has Bars.BarsSinceSession = X , e.g. 31 from the previous session/ day.

To make it really complicated: my executions are set to OnBarClose, market orders and I use range bars(Alt).

The problem seems to be that the execution on BarClose of the last bar of session is in reality executed on the next day.

If I use Range Bars instead of RangeAlt the problem is solved. But is there a way to have RangeAlt nonetheless ?

NinjaTrader_Bertrand · 03-09-2009, 06:33 AM

Hi makra081, thanks for your posts - have you tried to limit your trading strategy with time filters? Please see this reference sample for details - http://www.ninjatrader-support2.com/...ead.php?t=3226

makra081 · 03-09-2009, 07:35 AM

Hello,

TY for replying.

Sadly that does not solve my problem.

I set the Chart Session Parameter to 7:00-19:00.

If there is a entry sig on the last bar - e.g 18:45 - the execution should be done on that day - not the next day !!

Ninjatrader waits for the new Bar which is not printed before the next day.

NinjaTrader_Bertrand · 03-09-2009, 08:17 AM

This is expected since I guess you run your strategy on CalculateOnBarClose = true, right?

So this means the strategy waits for your 15 min bar to close to place orders on the next bar, which is then the first of the new day with your session times setup.

makra081 · 03-09-2009, 04:54 PM

Yes I use CalculateOnBarClose = true. That is correct.

Is there any way around this ?

NinjaTrader_Bertrand · 03-10-2009, 06:45 AM

You could try running your strategy on CalculateOnBarClose = false and then moving your trading signal logic to execute on the first tick of a new bar with if (FirstTickOfBar) ... http://www.ninjatrader-support.com/H...TickOfBar.html

Of course you want to reference then one bar further back to adjust for this ([0] calls become [1]).

makra081 · 03-10-2009, 11:24 AM

TY NinjaTrader_Bertrand

03-09-2009, 05:40 AM	#1
makra081 Senior Member Join Date: Dec 2008 Posts: 134 Thanks: 15 Thanked 4 times in 4 posts	Last Bar of Session Hello Ninja Team, I am looking for a way to check within a strategy if we are at the last Bar of the session. This should avoid the execution of an entry signal during the first bar of next days session (e.g. 7:00) which was created on the last bar of a session (19:00) - but not executed because of onBarClose. The session parameters(chart) are set to session from 7:00 to 19:00. I searched the forum for answers without success. Any Ideas ? TY
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03-09-2009, 06:04 AM	#2
makra081 Senior Member Join Date: Dec 2008 Posts: 134 Thanks: 15 Thanked 4 times in 4 posts	I tried Bars.BarsSinceSession !=0 . This does not work, because the execution in the morning (e.g. 7:00) has Bars.BarsSinceSession = X , e.g. 31 from the previous session/ day. To make it really complicated: my executions are set to OnBarClose, market orders and I use range bars(Alt). The problem seems to be that the execution on BarClose of the last bar of session is in reality executed on the next day. If I use Range Bars instead of RangeAlt the problem is solved. But is there a way to have RangeAlt nonetheless ? Last edited by makra081; 03-09-2009 at 06:21 AM.
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03-09-2009, 06:33 AM	#3
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,555 Thanks: 261 Thanked 1,013 times in 994 posts	Hi makra081, thanks for your posts - have you tried to limit your trading strategy with time filters? Please see this reference sample for details - http://www.ninjatrader-support2.com/...ead.php?t=3226 Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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03-09-2009, 07:35 AM	#4
makra081 Senior Member Join Date: Dec 2008 Posts: 134 Thanks: 15 Thanked 4 times in 4 posts	Hello, TY for replying. Sadly that does not solve my problem. I set the Chart Session Parameter to 7:00-19:00. If there is a entry sig on the last bar - e.g 18:45 - the execution should be done on that day - not the next day !! Ninjatrader waits for the new Bar which is not printed before the next day. Last edited by makra081; 03-09-2009 at 08:01 AM.
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03-09-2009, 08:17 AM	#5
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,555 Thanks: 261 Thanked 1,013 times in 994 posts	This is expected since I guess you run your strategy on CalculateOnBarClose = true, right? So this means the strategy waits for your 15 min bar to close to place orders on the next bar, which is then the first of the new day with your session times setup. Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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03-09-2009, 04:54 PM	#6
makra081 Senior Member Join Date: Dec 2008 Posts: 134 Thanks: 15 Thanked 4 times in 4 posts	Yes I use CalculateOnBarClose = true. That is correct. Is there any way around this ?
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03-10-2009, 06:45 AM	#7
NinjaTrader_Bertrand NinjaTrader Customer Service Join Date: Sep 2008 Location: Germany Posts: 22,555 Thanks: 261 Thanked 1,013 times in 994 posts	You could try running your strategy on CalculateOnBarClose = false and then moving your trading signal logic to execute on the first tick of a new bar with if (FirstTickOfBar) ... http://www.ninjatrader-support.com/H...TickOfBar.html Of course you want to reference then one bar further back to adjust for this ([0] calls become [1]). Bertrand NinjaTrader Customer Service Use Kinetick, NinjaTrader’s preferred market data service - Learn More Free online training events - View Schedule
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03-10-2009, 11:24 AM	#8
makra081 Senior Member Join Date: Dec 2008 Posts: 134 Thanks: 15 Thanked 4 times in 4 posts	TY NinjaTrader_Bertrand
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